Don't get so caught up in the "degree."
I've met individuals with graduate degrees in computer science (i know OP asked for data science, but the overall point here applies to any field) that didn't hold a candle to self taught developers. If you're actually passionate and interested about something, you will become extremely well-versed in it. On the other hand, if you're not excited about data science, a degree with probably benefit you more than without one since it will force you to learn the topic.
In a nutshell, it's up to you to make yourself valuable and present that value to the world - a degree is just a shortcut for recruiters to filter on, but you can skip recruiters and talk to anyone in any company.