In this article we present our findings regarding the challenges of offering a massive university's free-of-charge online course. The online course "Introduction to data science (with R)" was offered by one professor at the Federal University of Sao Paulo, Osasco Campus, Brazil, from 11 to 28 of January of 2022, to 680 students from all over the country. This course had the goal of providing educational opportunities for those who otherwise would not be able to afford one. The course followed a problem-based learning approach. In addition to delivering the course content on data science, we wanted to investigate the challenges involved in structuring and delivering the course. Data was collected by means of questionnaires and from the professor's notes. Our findings were as follows: 1) the process of creating an online extension courses can be complex, time-consuming and laborious; 2) handling multiple social media applications and communication tools in order to publicize the extension courses is challenging; 3) the drop-out rate can be high and the completion rate can be low; 4) obtaining the participation of students living in disadvantaged conditions is challenging; and 5) the use of problem-based learning approach facilitated the learning.