Because therapy isn’t a kind of procedure, it’s a kind of relationship.
A lot of people here think this is about knowing something (like what an automatic thought is or how to do a breathing exercise) or having insight (recognizing your own motives and biases). Those people aren’t exactly wrong, but that isn’t the answer to your question.
Really, there are a certain group of people for whom self-help books work quite well, and those are the people for whom the only thing they don’t have is information. But most people don’t do well with self-help books, because they’re lacking something more than information.
It’s tempting to think of therapy as a medical procedure similar to diabetes treatment, where you get educated, take medicines, perform exercises, change habits and get better from your illness.
This is not entirely untrue (you need to do most of those things to do better), but thinking in this way gets confusing, because therapists who focus only on those things tend to be ineffective, and because two therapists who do completely opposite/disagreeing education and exercises can be equally effective.
It turns out, a lot of what makes a therapist effective is the way that they help you form goals, keep you accountable, believe in you and care for you/show you kindness.
What is the difference between a therapist and a close friend then?
A therapist has formal training and a greater understanding of how people’s minds work, and is much more likely to be able to give you an objective perspective about the situations you are in (rather than a friend who is probably entwined in some of them).
Obviously some friends can be great listeners and shoulders also and know you so that’s great. But most people find it hard to be completely focused on another person in a formal way and not interject their own bias (obviously therapists have some bias as well but you know what I mean).
Therapists have also trained in empathy and in allowing people to fully express themselves without judgment. Think of how many friends you have who make suggestions when you have problems rather than letting you just vent when you need to, or how many friends really have the emotional bandwidth to hear about all of your traumas for hours at length, or how many friends might judge you if you were really honest 100% about how you feel about something.
Most people don’t have the capacity to really hold all of that for other people and not let it impact them emotionally.