I noticed too that when some of my friends say "that's too expensive" for something I value, what they really mean is they don't value it enough to think it's worth the cost. However, it doesn't necessarily mean they are frugal. I can think of a number of "expensive" choices they make for their lives that I don't value and that they have tried to persuade me to do. So, instead of judgmentally remarking that something is so expensive that I don't want to do, I'll simply say something like "no thanks, it's not in my budget. How about we go for a hike at that place you like next weekend when you're free?"

When I make the focus about finding overlap in the categories I have in common with my friends, I realize most incompatibilities aren't really an overt cost issue like they might initially seem with the "that's too expensive" remark. It's usually more that your friend values doing something else more. If something they like doing is expensive, they will find a way to fit it in the budget and prioritize it instead of complaining.