Well, it's a fact that in Touhou universe Human Magicians can become Youkai magicians. Alice is a prime example of that, actually, so she of all people should at least mention it.
Also Marisa apparently said "...Although the whole immortality thing is pretty appealing." in Imperishable Night. Unlike Sakuya who was against the idea.
I actually wonder why there aren't any doujins about Marisa becoming Youkai magician. I think there was a couple about Alice becoming one, but I can't remember the names. Both were briefly mentioned in Reborn from Omega, though kinda indirect.