There is a size limit, though--the required material strength scales linearly with the radius. Note that if you'll accept some fancy engineering this can be avoided: Instead of making it self-supporting you surround your station with a non-rotating ring. You can make it as thick as you need to provide the required strength. Wheels can't take the speeds involved, the connection will have to be magnetic levitation. Yes, this means maintenance but so long as you have an adequate safety margin you can power down and take apart any given piece for upkeep or even replacement. Just don't take apart too many at once.