I know you can exchange coins for it at the Game Corner. But I think one can be found as well. According to serebii.net, there's supposed to be one "above the Power Plant". However, there is no Power Plant in Platinum. So where is it?
Actually, Serebii is not completely incorrect. The Power Plant is a direct translation from the Japanese name. In the actual game, it is called Valley Windworks. You're supposed to surf from the river on route 205 in order to get the TM that is behind Valley Windworks.
source:http://bulbapedia.bulbagarden.net/wiki/Valley_Windworks
There are two ways to get the Thunderbolt TM - one way is as you mentioned, at the Game Corner for 10,000 coins.
The other way is to surf behind an island on the water behind Valley Windworks, which is near Route 205. Below is a picture of the exact TM spot you're looking for.
(Source: Guide Strats)
