Runners? Yes. There are definitely some compute/resource heavy things that are more efficient to self host. Until you run out of capacity and getting more capacity involves something like having go buy more hardware and data center space (which I've had to do, though not for CI reasons specifically).

GPU-heavy tasks were also heavily in favor of buying hardware and self-hosting at the time I was making purchasing decisions at my job.

Not everything falls in that bucket and the examples in my comment don't (GitHub isn't just runners).

Edit: I'll also add a question: what part of "unless there's a very big financial cost difference that more than offsets my time and hardware investment" did you think would not cover "have you checked the cost of GitHub runners?"

I didn't say you were wrong, I was just mentioning that I was absolutely amazed when I discovered how much my startup was spending in GitHub runners.