Yes, you can study the same material on your own, but you won't earn a degree from it. Now that I've got the degree, I'm in much better shape to pursue further learning on my own.
Note, however, that I didn't do this to improve my resume, go fishing for a new job, or try to get a raise. With tuition reimbursement from my company I only spent $3500 over 2 1/2 years to earn a full-fledged master's degree.
Based on the above, I can't agree that it's a losing proposition.