There are a few different ways to run a data center, a subset of which are much less expensive than the cloud but require a level of competency that some organizations will never have. It can also be relatively pain-free when done well. Some workloads are inherently inefficient in the cloud because of the architecture.

Data center ops is ultimately a supply chain management problem, but most people don't treat it as such. That was my primary learning from doing data center ops at a few different companies. If you get the supply chain management right, and are technically competent, there can be a lot to recommend running your own data centers.