Extreme risk, mind-bending difficulty, and time.
This is detailed in some of the supplements for Revised and V20, but isn't focused on as much in the core rulebooks:
Experimenting with magical Disciplines which bend the Curse to produce reliable magical effects is almost absurdly dangerous all by itself.
Obviously it's possible (the existing knowledge came from somewhere, after all), but this is not similar to, say, teaching yourself to cook or draw. Tiny mistakes in what an aspiring Thaumaturge tries to do can have any of an essentially unlimited number of side effects and consequences. Final Death is very much in that grouping, but there are other consequences which could be as bad or worse (depending on personal tastes).
Most Disciplines are not so strict, in that they are extensions or representations of the Curse of Caine-- the only way you're going to mess up with trying to learn Fortitude is thinking you've succeeded when you haven't. But Thaumaturgy is about bending the Curse to totally new purposes and relies on principles that can't really be observed or experimented with in other ways. Messing up a Thaumaturgical principle on your way to gaining the first dot can easily be fatal.
The "you can't find anyone that will teach you anything" is an absolutely massive obstacle, and while it may not suit this question's purpose it is absolutely sufficient as an in-game explanation. Most (by far) of the individuals that try to learn Thaumaturgy totally on their own die in the effort.
These Disciplines are massive, and some of their effects are inherently dangerous.
Some specific Path powers don't automatically have extreme dangers to them, but others do. Summoning a demon is dangerous under any circumstances. Crossing the Shroud may not be too hazardous by itself, but being stuck in the Deadlands definitely can be.
The big risk in this area is that while it's plausible to account for some of these dangers the risk quickly builds as characters learn more, particularly when they don't have advice or warnings from individuals that already know about the dangers. It doesn't sound like the character described in the question is going to be stopping their education at a couple of dots, so they have to deal with extra, compounding danger while they also have less foreknowledge and support.
Self-study, even if successful, can be another great way to cut your eternal existence short.
Most groups that already know such Disciplines actively prevent others from knowing them and living (so to speak). And those groups will always know more than you do about the subject.
If you're not a Tremere, but you're caught performing Thaumaturgy, you are virtually guaranteed to be marked for execution. And caught is a loose term. There are rituals that allow Thaumaturges to identify when and where Thaumaturgy was used (to some degree), and with time and observation that can conclusively point to a specific vampire that "shouldn't" know Thaumaturgy at all. And this isn't a Law & Order style courtroom scenario-- we're not talking about proof beyond a reasonable doubt. Kindred scheming being what it is, you could be killed (or set up to be the subject of a Blood Hunt, or otherwise dealt with) because someone thinks you might know slightly too much. Just to be safe.
And depending on events surrounding your chronicle, trying to learn about how bending the Curse really works can drop you into an ocean of vital information which you definitely won't have, but that your opposition absolutely does. Tremere knows a lot about Thaumaturgy and can use that knowledge to identify, find, and interfere with you and your studies in ways which you will fundamentally be unable to predict, understand, or counter. And if we're talking about someone like Ur-Shulgi... their understanding of Thaumaturgy indicates a deep knowledge of how both the Curse and reality itself operate.
Trying to learn these Disciplines all by yourself is sort of like not being able to swim at all, and deciding to learn by hurling yourself into a tank of water filled with sharks, and which you can't exit afterwards. Learning to swim that way is risky and difficult enough, but the sharks are at least as dangerous whether you ever learn to swim or not.
Dedicated study takes time, and even immortality may not provide enough.
These Disciplines are huge, deep subjects all on their own, and an autodidact doesn't have anyone to share the burdens of study with. You'll have to come up with every idea to test by yourself, and design the tests yourself, and execute those tests yourself, and interpret the results yourself, and build up a broader theory of everything by yourself.
There will be no other perspectives to help break through mental blocks, no other sources of inspiration to suggest new avenues of research, no accumulated body of work to consult for previously discovered knowledge. It will take a long time, a ton of effort, a strong, organized mind, and no small amount of luck to develop much practical knowledge of these Disciplines. And, as above, you'll also need to survive that development.
Couple that with the "slowing" of an immortal mind over centuries (the relative lack of ability to learn new skills thoroughly, plus the loss of inspiration and creativity accompanying the Embrace) and you can see that learning these Disciplines may crowd out other activities you need to take care of (hunting, learning other Disciplines, navigating undead social and political challenges, etc.) to be viable at all. And even then, you don't quite have forever to study them well. Rebuilding all existing knowledge from scratch means that a lot of this time will be spent duplicating things a more typical Thaumaturgy student can just be told about and contemplate, placing a lower ceiling on your magical abilities than most other Thaumaturges/Necromancers/Koldun/whatever might know.