Sending a Filtered vs Non-Filtered speech over a Communication Link
It can mean a number of things; some examples are:


Converters (analog to digital as well as digital to analog) go up in price and in power consumption as the sampling rate increases.
In very general terms, analog circuits capable of handling signals of larger bandwidth are more expensive than narrower-band circuits. Compare the cost of a 741 op-amp to a 2082's.
In the digital domain, a higher sampling rate implies more calculations per second, which in turn implies higher-performance digital circuits and more power consumption.
Channel bandwidth has a cost. In wireless communications, you either have to license a band or use an unlicensed band (such as ISM). ISM bands are subject to interference and put limits on the power you can radiate. In wireline communications, wire cost goes up with bandwidth -- compare the cost of twisted pair to coax to thunderbolt wires.