For some TTRPG players, much of the fun of the game comes from creating and trying out new builds. Two of my players create lots of characters in their spare time, for fun, even though most of those characters will never see actual play. There's nothing wrong with this! Gamers get their fun from many different aspects of the game, and as long as you and your whole group find a playstyle that allows you all to have fun, you can play however you want.
So, that said: why do you object to your player constantly rebuilding her character? Based on your question, it sounds like you may find your fun from telling a cohesive story with a logical path from A to Z. This isn't inherently opposed to your player's fun, but you're going to have to work a bit harder to find a balance.
You should also consider whether her constant rebuilding bothers anyone at your table other than you. If you're the only one bothered, you'll want to take a lighter touch; if everyone else is annoyed, then it's reasonable to look for a stronger compromise.
So what compromises can you make?
(1a) As the DM, you can disallow changes to PCs entirely, overriding the Retraining rules
First, if you do this, you have to apply the rule to all your PCs, otherwise the player in question will justifiably feel singled out and targeted. Also, note that doing this is likely to upset your player, and may even cause her to quit your game, because you're ruining her fun. However, if her constant changes are annoying everyone else, this may be for the best, as you simply have a playstyle mismatch and she'd have more fun at a table where build changes are allowed and encouraged.
(1b) As the DM, you can decide it doesn't matter and let players change their PCs as much as they want
This is the inverse corollary to 1a. If you're the only one bothered by the changes your player is making, and it's not bothering you that much, what's the harm in letting her keep doing it? She'll be happy, and happy players make for fun tables. You can combine this with shades of option 3 below to make it easier for you to absorb, though it's not strictly necessary.
Also, note that however extreme you feel this stance to be, is likely to be how extreme your player will feel option 1a to be. In other words, if you think this is unfair to you and would make you want to quit, she's likely to feel the same way about not being allowed to make any changes at all. Options 1a and 1b are extremes, so use with caution.
(2) You can require her to abide strictly by the Retraining rules
RAW, each time her character gains a level, she may only "remove a single feat, power, or skill, and replace it with a different one." (Emphasis mine.) She can't adjust her ability scores, and she can't swap a feat if she doesn't meet the prereqs. You can also require her to abide by the Multiclass rules, which put limits on things like the Rogue to Wizard scenario you describe.
4e is generally good about limiting how much you can retrain such that it makes sense within a narrative, but it's not perfect. You have to allow some suspension of disbelief of your own in this case, which again can be aided by option 3 below.
If you've been allowing her (and the other players) to change things willy-nilly up till now, you'll need to have a conversation with the whole group about how you're choosing to retract that houserule. Again, don't single out the one player; just explain that in order to make it easier for you to DM, you need to stick to the RAW.
(3) You can work with her to find story reasons for how her character is causing these changes to happen in-universe.
Does she want to multiclass into wizard and learn spells? Great! But she has to find a magic teacher before she can do that. This allows you to build an interesting quest around her search for someone who can teach her those spells, as well as work together to create narrative reasons why she's able to learn those spells when she finds the teacher. Maybe she can learn the limited number she gets from the Multiclass feat with a few weeks' intensive study rather than twenty years. Maybe she searches for and finds a legendary book which imprints wizard training into her. Or something else!
At my tables over the years, we've had a wide spectrum of this. Way back in a 3.5e game, a player knew he'd want to make major adjustments to his character down the line if the story went a certain way, so before the game even started, he worked with the DM to create a backstory that would allow that retraining when needed. (He was a bard whose backstory involved being an outcast from his family of warriors, so he could go get fighter training if he decided to multiclass fighter.) At the other end of the spectrum, I had a 4e character whose build I just couldn't get the way I wanted it, so I worked with the DM to write that character out of the game and replace her with a whole new character. In another game, a rogue did a lot of spellcasting via Use Magic Device, so it made sense to allow her to train with the party's bard into a bard multiclass. In my current game, our fighter and our bard have begun discussing tweaks to the fighter's build to accommodate the fact that the bard likes to drop Greater Darkness in the middle of combats; in-game this is likely to result in the two of them spending training time in between missions working on that tactic.
The point here is to look for ways to support her fun (tweaking her build) AND your fun (making the changes fit into a narrative).
(4) You (or someone else) can run short one-shots where your player can try out lots of different builds
Single-session games with little to no narrative consistency from game to game are a great playground for players who like to experiment with new builds. You don't necessarily have to run these - in fact, they're a great way for others in your group to try out DMing, if they want, without committing to an entire campaign.
You can combine these solutions in varying ways, too. My table tends to make use of 2, 3, and 4, depending on time, system, and interest. For example, we usually have a single long-running campaign where everyone plays the same character the whole way through. If someone wants to change their character, they work with the DM to create a narrative reason for it. At the same time, if the primary campaign's DM can't make a session, or if someone has an idea, we do occasional one-shots where we try out our wackier builds.
One last suggestion would be to encourage your player to play around with character builds outside of game, either by hand or with a character builder. I don't know how many of the 4e tools are available anymore, but if your player has access to one, encourage her to experiment with it. She may find that, like my two players, she enjoys simply spending time in the builder trying out new things, without ever needing to move the characters all the way into play.
The point, overall, is to look for ways to balance her fun and your fun. Remember that if she finds this kind of build experimentation fun, that's okay! There's nothing "wrong" with that, just like there's nothing "wrong" with you finding it fun to keep narrative cohesion throughout a game. Ultimately, you have to talk to your player and look for a compromise that works for both of you, as well as the rest of the table.