We consider the paraxial model for a nonlinear resonator with a saturable absorber beyond the mean-field limit. For accessible parametric domains we observe total radiation confinement and the formation of 3D localized bright structures. Different from freely propagating light bullets, here the self-organization proceeds from the resonator feedback, combined with diffraction and nonlinearity. Such "cavity" light bullets can be independently excited and erased by appropriate pulses, and once created, they endlessly travel the cavity round-trip.