In my opinion, one of the biggest difficulties of studying Japanese is to know how to use postpositional particles. Some Japanese postpositional particles such as "te","ni","wo" and "ha" are difficult to translate into other languages. It may mean there is no concept which applies to the postpositional particles in some foreign languages.
In my experience, the most difficulties of studying a foreign language were in the absence of concept in my native language. For example, when I wrote sentences in English, I often made mistakes about definite articles because Japanese doesn’t have definite articles. On the other hand, my German friend could find my faults in my English sentences easily. For another example, I often found some mistakes about postpositional particles in Japanese sentences made by some foreign people. Although they are quite high educated and speak Japanese fluently, they sometimes made mistakes which Japanese junior high school students never did.
We can understand a foreign language relatively easily if each language is based on same concept or idea because we can apply the idea of our first language to the foreign language. However, it is quite difficult to understand about concepts which we don’t have originally. If we don’t have an idea, we have to know that we don’t have the idea firstly. While this is the biggest challenge to study a foreign language, it is also the great fruit for our wisdom brought by studying a new language.