Not necessarily "cheaper", but almost certainly better parts selection.
Plus, you get a much deeper understanding of how it went together and how it works. Rather than it being a black box.
Warranty - Often, it is a 1 year. Even though the individual parts would have their own 2-3-5 year warranty. And YOU have to pay shipping back.
And for the price consideration, a year or so a guy came here asling about a prebuilt for $2400.
Going through the detailed parts list, for exact same or better parts, $1800 if building it yourself.