Because Costco is not universally cheaper. Costco discounts a few categories of products to lure you to shop there, but has higher prices in other categories. Fresh produce, meats, milk, and cereals cost more at Costco. Bulk packaged foods, frozen foods, and bulk household items are usually cheaper.
A lot of people don't notice this, and buy everything from Costco for the convenience, when it may be cheaper elsewhere.
For me personally, if I'm buying a large amount of meat, I buy from my local grocery store, as it's significantly cheaper.