We demonstrate magnetization auto-oscillations driven by pure spin currents in spin Hall nano-oscillators based on CoFeB/Pt bilayers. Despite the very low anisotropic magnetoresistance of CoFeB, a substantial microwave signal power can be detected, even at room temperature, indicating that a sizable spin wave amplitude is generated. Spin torque ferromagnetic resonance measurements reveal that the generated auto-oscillation frequency lies below the ferromagnetic resonance frequency of CoFeB and is therefore well described by a self-localized spin wave bullet mode.