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.