It's man-hours that cost so much.
Shenmue threw masses of man-years at making (and remaking) not just content but cutting edge technology to support the game. Not just a fancy renderer - reworking and expanding motion capture studios, creating audio tools that hadn't existed before, researching and modelling real world locations, writing bios for every NPC in the game, having online leaderboards at a time when no-one else's console could even go online - it was nuts.
It would be far cheaper to make Shenmue now because technology and middleware have advanced so much. It would be similarly expensive and risky to try and push so many boundaries so far at once though - which is probably why it so rarely happens.