It depends.

It isn't that yarn in itself is expesive, but if you're knitting/weaving, you're not doing it to save money on socks, you want to make something cool and unique. If you really get into it, you're going to eventually want that specialist wool/bamboo/elastane blend with a super specific colour grade and maybe a specific manufacturing method too. And that's expensive.

Similarly, if you're spinning your own yarn, you can get boring old for about half the price of boring old yarn, and even less if you dye big batches yourself. You can get a pretty nice wool for about a quarter of the price of the yarn, so far so good. But of course, if you're spinning your own yarn, you're going not doing that for production purposes, you want to make something cool and unique. So you'll want to blend in specifics, like glitter nylons, or maybe even metalic fibers, and that long-fiber, ultra-fine angora will go great with a slightly thicker cairngorn, etc etc. And before you know it, you're making yarn that costs maybe ten times what they sell at the local hobby shop.

And spinning wheels aren't exactly cheap either. Mine was something like 800 euros, but you can easily spend four times that on an electric wheel. You can buy a LOT of yarn for that money. And lets not talk about how much wool I've ruined due to lack of skill while learning.

Or, if you want to do it for historical purposes, you're going to want kinda-shitty, historically accurate materials like hemp or flax or wool from sheep that aren't really all that suited for wool-making, and are probably not even kept anywhere anymore outside of niche hobby flocks. And then you want to process it yourself. And it's surprisingly hard to fine someone who will just sell you flax-the-plant.