We propose how a fermionic quantum gas confined to an optical lattice and coupled to an optical cavity can self-organize into a state where the spontaneously emerging cavity field amplitude induces an artificial magnetic field. The fermions form either a chiral insulator or a chiral liquid carrying chiral currents. The feedback mechanism via the dynamical cavity field enables robust and fast switching in time of the chiral phases, and the cavity output can be employed for a direct nondestructive measurement of the chiral current.