Have you been told that risk management add cost?

Yes, it adds. I can think of ramp up's as one such risk that adds cost.

Yes i have been told that many times, however i confronted the challenge and shared the detailed response what affect it would have if saving some pennies initially may result in millions of dollars of loss if executed without risk mitigations

I've been told that risk management adds both cost and time, but not as an argument to not follow risk management practices.

As has been stated in other answers, risk management does add cost, because your time has value, but if all it does is add cost then someone is doing something wrong.

Not only should risk management help you prevent unplanned cost, it can also help you identify opportunities (positive risk) to reduce cost.

Aaron, you make a great point here. There is a cost to risk assessment and alleviation (If that course is possible), There is also a cost to risk avoidance, but I would argue that risk costs can be offset by cost avoidance as well.

One of the reasons we used Functional Economic Analysis as a tool in the Defense Department was its ability to separate out costs, cost avoidance, and cost savings by applying reasonable alternatives in project decision-making. That gave us a more balanced approach to understanding true costs over the live of a project. Doing the cost analysis up front (adjusted over the life of the project) shows the expected saving occasioned by appropriate risk analysis in reduced future costs.

I think it is very true that in practice it is considered that the risk management is associated with the costs of the project, in many occasions when managing the risks in the stage of initiation and planning these generate increases in the budget of the project, which makes them very determinant to generate a real final budget.

It is obvious. Everything that is an activity inside a project add cost. It is not a question to be performed from somebody that could argue is a professional in her/his field.