Google has a reputation of shutting their services down. What if they shut their fonts CDN down or change their URLs without redirects?
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.
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.