Unless you build your own data center, pull in all the fiber yourself, make the network switches yourself, build the servers yourself, etc... you are always going to be dependent on a third party or external service.
They might have a direct peering which is down and unexpected traffic is flowing though transit, you got BGP flaps, you got local CDN outages... and in the eyes of the customer your website is down, not Google CDN.
If my site is down, they already can't access it. Using Google Fonts just adds an additional failure probability, however small it may be.
In the case of Fonts though, it's a good source of user and browser data, so it's not likely to be shut down any time soon.
Self hosting introduces extra code, resources and assets that you as a developer must introduce and maintain. This is not free.
Especially if worst thing that happens is a wrong font loaded.