No, these days, in most cases, it costs them very little, and often nothing. If you're on a Vodafone or Telefonica network, then the network you're roaming on is probably also owned by Vodafone or Telefonica. Even where you have to roam on an unrelated network, the price difference has never made any sense.

Roaming costs what it costs to transport the (voice) data over the internet, because all of the telcos naturally now use that as their backbone and have been for 10+ years.

So it costs absolutely nothing.