I've tought myself a lot of things over the course of my life and am a huge proponent of self-education, but a lot of the 'learning how to learn' had to happen in graduate school. There are few environments that provide the right combination of time, close involvement of experts and peers, the latitude to direct your research in a way that you find interesting and useful within the larger constraints of a project, the positive and negative feedback systems, the financial resources from grant funding, etc.
The negative feedback loops are particularly hard to set up by yourself. At some point if you're going to be at the researcher level (construed broadly), you need help from others in developing sufficient dept, rigor and self-criticality. Others can poke holes in your thoughts with an ease that you probably can't muster on your own initially; after you've been through this a number of times you learn your weaknesses and can go through the process more easily. Similarly, the process of preparing for comprehensive exams in a PhD (or medical boards or whatever) is extremely helpful, but not something most people would do by themselves--the motivation to know a field very broadly and deeply, so you can explain all of this on the spot in front of 5 inquisitors, is given a big boost by the consequences of failure, which are not present in the local library.
The time is also a hard part. There are relatively few people with the resources to devote most of their time for learning outside of the classroom. I spent approximately 12,000 hours on my PhD (yes some fraction of that was looking at failblog while hungover etc. but not much). You could string that along at 10 hours a week, 50 weeks a year, which is a 'serious hobby', but it would take you 24 years. How much of the first year are you going to remember 24 years later? How will the field have changed?