Thousands of columns is both fine and routine there is no hard limit but stuff will eventually start to degrade in performance as you add dimensions. What exactly fails first depends on way too many factors to list out. In SQL based ingestion there is a limit of 2000 columns you can generate per query (see
https://druid.apache.org/docs/latest/multi-stage-query/reference.html#error_TooManyColumns) that limit was picked as a known safe limit. So consider >2000 as being "at your own risk" (but some people do that)