Things I can think of: it is slow, so you burn through a lot of wages. To compare with road building the only major road I can think of, built in my lifetime, was the M40. It is 90 miles long and took 4 years to build but I don’t know what the cost was. The channel tunnel is much smaller than a freeway — two train tunnels and an escape tunnel in between. It is 30 miles long, took 6 years to build, for £9bn at the time.
Tunnelling also must require a lot of energy. What it probably doesn’t lean heavily into, in terms of cost, is either compulsory purchasing of the majority of the route or the political consultation and planning process. Those were both a huge deal when building a motorway through the Oxfordshire countryside.