A number of people, I think in the "COBOL Cowboys" discussion, on HN have pointed out that it's not learning COBOL that's the issue. The language is the easy part. The real problem is learning the mainframe systems and concepts, and especially gaining meaningful experience with them. Emulators are available in some cases but back in the day all this stuff was proprietary, and doesn't follow the familar UNIX-a-like mould of many modern OSes. (It goes without saying they're nothing like Windows, either.)

EDIT: I think this is the COBOL Covboys discussion I referred to above: https://news.ycombinator.com/item?id=14083214