Why do people spend so much money to go to a foreign language school?

I think that it is possible to teach yourself a language. I'm African - American. And I speak only English and a little bit of Japanese. I'm currently learning Arabic. I seem to pick it up well. I'm interested in moving to UAE. I want to be fluent in Arabic while I'm at it. What will I miss out on if I taught Arabic to myself while I live there vs going to a real language school for it? ....wait , for the illiterate...yes it is highly possible to teach yourself to write and read another language. It is so easy.