There are two ways to answer this question, so I'll have a go at both. Answer number one is quite simple - the Kingdom of Great Britain only officially came into being in 1707 with the Act of Union. This added a political union to the pre-existing Union between the monarchies of England and Scotland (which originated in 1603, with James VI and I ascending to the English throne after Elizabeth I's death). As such "Britain" can only have started referring to itself as an Empire after that date, in spite of, as /u/Shadow_Temple noted, the Settlement of Roanoke predating 1707.

With that cheap answer out of the way, I'll look at the other (better) way of answering your point. I hope that any Scots reading will forgive me for looking only at England for this answer - mainly because my knowledge of Scotland in this period is lacking, perhaps someone with a better idea could fill in the gaps.

Anyway, the earliest reference of England as an empire in a political sense that I know of can be found in the Ecclesiastical Appeals Act of 1532, which was drafted by Thomas Cromwell on behalf of Henry VIII, which was a major legal part of Henry's break from the Catholic Church. An extract from the Act is below:

"Where by divers sundry old authentic histories and chronicles, it is manifestly declared and expressed that this realm of England is an Empire, and so hath been accepted in the world, governed by one Supreme Head and King having the dignity and royal estate of the imperial Crown of the same, unto whom a body politic compact of all sorts and degrees of people divided in terms and by names of Spirituality and Temporalty, be bounden and owe to bear next to God a natural and humble obedience: he being also institute and furnished, by the goodness and sufferance of Almighty God, with plenary, whole, and entire power, pre-eminence, authority"

In this extract, Cromwell appeals to the "sundry old authentic histories" of England - think Bede and the Anglo-Saxon Chronicle - and seems to argue that England has always been an empire. While this isn't a particularly good argument (it's just an appeal to tradition), the most important thing here is the way Cromwell defines "empire". The crucial part is:

"whom a body politic compact of all sorts and degrees of people divided in terms and by names of Spirituality and Temporalty"

In this passage, Cromwell makes the distinction between Spiritual and Temporal (what we'd call "Political") Power. This was important as prior to the Reformation (and indeed, largely until the Peace of Westphalia in 1648), the Pope claimed Spiritual jurisdiction over all of Christendom. Cromwell is clearly arguing that this is not the case for England, because both Temporal and Spiritual power are vested in the "one Supreme Head and King" and that the King has been granted by God, "whole, and entire power" over his realm.

This means that it could be argued that this document provided the legal foundation for England considering itself an Empire, in the modern sense of the word: it is the first time that England legally claimed to have total dominion over its own affairs, and claimed that it wasn't beholden to any external authority other than God. The Act of Supremacy in 1534 reinforced this idea, but this was the legal foundation for this way of thinking.

Sources:

The Ecclesiastical Appeals Act 1532 (24 Hen 8 c 12)

Edit: Minor grammatical changes