That's not a "cost" of means testing though, at least not in the accounting sense. If anything, that causes the program to spend less money. Like you said, whether or not otherwise qualifying people get excluded from a welfare program is a good or bad thing is up for debate, but if it has any effect on the cost of a welfare program it only reduces it.
It's a cost borne by society at large and specifically by the people who can't get enrolled in the programs they're eligible for. Not every cost is easily measured by accountants.
