Switching from a working visa to student visa - is it possible?

Hello, I currently work in Xi'an as English teacher, on a working residence permit. Next year, I want to study Chinese at university here after finishing my job. The university told me I will have to go back to my home country to get a new student visa - is this really necessary? Does anyone have experience of changing their visa status while within China, or at least making a visa run to Hong Kong for this purpose?