I would notice having to go out and buy candles all the time, or needing to make them. A candle can be consumed over the course of a day or maybe even a few hours. A light bulb can last months or years.
If light bulbs burned out as fast as candles burn, I would be a fanatic about keeping the lights off and only use them when absolutely necessary.
"The electrical cost to produce the same amount of light as a single standard candle is approximately $0.01 per year if run for 14 hours every day. In terms of energy consumption, a standard candle produces about 12.57 lumens of light, which can be matched by an LED bulb using only 0.1 to 0.2 watts."
Personally I think this misconception only exists because people alive today have never had to or tried to do things in the dark or extreme low light conditions. You can't do everything, but there is a lot you can do, especially if you aren't constantly blinding yourself for 20 minutes at a time by looking at bright modern light sources. We even have the notion of a harvest moon, because you can work easily outside during a full moon, and fishing by moonlight is a thing and has been since before electricity.
Also candles may be expensive, but they are far from the only lighting option and certainly nowhere near the cheapest. Candles were prized for how nice and consistent and hands-off they were along with not smelling nearly so much or being as smoky or sooty. Rush plants, or others, dipped in any kind of oil or fat or resin make portable candle-like light, and also simple oil lanterns themselves you can place on a floor or table which date back to atleast 10,000BC. You can also use fatwood sticks, the wood of a tree like a pine that is sometimes soaked with pine resin and would be split into thin sticks that burn really nice and bright and long.