Hiya,
Without knowing a little more about your site and the blog here are some things I would consider:
I'm going to assume that you're trying to decide what to do with the blog while still retaining the maximum benefits for the overall seo of your site.
You say that the blog has thousands of URLs. What you need to do is determine how many sites are linking to your blog content. (You can do this using Open Site Explorer or look in Google webmaster tools or Google Analyrics to see who is reffering traffic.
The first question I would ask is whether you need to remove the content at all? Would it be possible just to put up a banner on top of the existing pages to say that the blog is no longer active.
How many search visitors does the blog get? If the blog posting are getting visitors, then you need to ask yourself if you're happy to give these up.
Would anyone else be interested in taking over the blog?
If you decide to remove you content:
Put 301 redirects to direct traffic to you main site. You'll preserve some of the value of your inbound links.
Do your blog pages relate to specific content on the main site that may be of interest to the visitor? If you can determine specific pages that are strongly related to the removed pages then link to those.
I wouldn't just remove the pages and respond with a 404 error. You'll lose any value from the links to those pages.
Hope this helps!