The 22nd Amendment to the Constitution limits a president to two terms. It was not proposed until March 24, 1947 and enacted on February 27, 1951. There just hadn't been any previous presidents who wanted and won three terms.
I worded it wrong. TR sounded like he wanted to be President again for a third term under a different political banner(which in itself was unusual because normally a President sticks to their party to their dying day), yet he didn’t, and nobody else sought and nobody won a third term before and after FDR, who even went for a fourth term. My mistake on wording.