I think there are vanity presses that will print on-demand as people order, without a large (or any) upfront payment. From there it's just a matter of whether people want the books enough to pay the high price.

For example, there's lulu.com. (This is not a recommendation as I have no experience publishing through them; it's just the first name that came to mind.) You can upload a PDF and cover images, choose paper size / type, binding, etc. and publish. They also offer ISBNs and publishing through Amazon.

Their pricing calculator is here. I think you can set any price you want for the book, as long as it's above the manfacturing cost (and there'll be shipping charges for customers).

Some examples I ran up:

2500 pages in 4 volumes means 625 pages/volume. (Lulu.com specifies a maximum of 740 pages per book.) I don't know the page size which comes to 2500 pages, though.

• 625 pages,paperback binding, A5 page size: $18.38 ($73.52 for full set)
• Ditto, A4 size (I doubt the PDF uses such large pages though): $23.10 ($92.4 for full set)
• Hardcover, US trade size (6" x 9"): $27.35 ($109.4 for full set). May be worthwhile since the volumes are large that paperback might fall apart after a few years.
• "Publisher grade" paper, which is of lower quality, paperback, "digest" size (5.5" x 8.5"): $12.08 ($48.32 for full set)
• Volume discount is relatively low. 10 cop/ries gives no discount. 100 copies discounts the per-copy cost from $18.38 to $16.54. 300 copies, $14.70 ($58.8 for full set). So group buying will help but not by much.

Personally I would be willing to pay between 75 and 110 $ to buy a nice hardcover four-volume set, as a gift for someone who doesn't like ebooks.