Spoiler alert: MYTH!
The source of this claim is the World Christian Encyclopedia (Barrett, Kurian, and Johnson; Oxford University Press), and it's taken hold of us by sheer force of repetition. However, it relies on too loose a definition of the word "denomination".
According to the WCE, the 33,000 figure represents “world Christianity”, NOT Protestantism. To be clear, the WCE breaks down "world Christianity" into the following broad categories:
▪ Independents: 22,000 denominations
▪ Protestants: 9,000 denominations
▪ Marginals: 1,600 denominations
▪ Orthodox: 781 denominations
▪ Catholics: 242 denominations
▪ Anglicans: 168 denominations
Catholics need to stop citing this number, not only because it is outlandishly false but because pointing out how many Protestant denominations there are misses any point that should be taken seriously.
To those who ask what is a point that should be taken seriously?
Any division in the body of Christ is a scandal.
But that's a topic for another time.
P.S. My source for this was an article written by a Catholic from a Catholic website: https://www.ncregister.com/blog/we-need-to-stop-saying-that-there-are-33-000-protestant-denominations