I should make my contention clearer: I think that companies are extremely unlikely to forego interviewing a candidate that otherwise looks good because they had no cover letter. This doesn't just apply to the best candidates - if any candidate looks hireable in relation to the rest of the applicant pool, they will put them through to the next stage of the process. Once you've actually sat down and spoken to someone, your written introduction is irrelevant.
I do think it probably matters more for small companies, but they're also going to get way less applications to begin with so it's like... You're really going to just not interview good candidates? Really?