This doesn't make much sense, for two reasons: 1. Various ML libraries are implemented in C++ and have wrappers for respective interpreted languages. 2. Given higher-level languages can do auto-diff, c++ as a lower-level language is likely to be able to do it (and it can).

It just doesn't have as popular libraries such as python/R etc given the latter are far easier to work with + lower barriers for entry.

PyTorch is written in C++ and has a C++ API (although the most famous API is — as the name suggests — the Python one).

dlib is pretty good: http://dlib.net/