Physically they are a comparable size and material quantity as a similar tap or similarly sized end mill, only the geometry of them is really different. Since all these tools are presumably produced on the same multi axis CNC grinders, why the cost difference? Is it just because they are newer technology?
Yeah, I wondered about that, too. I ended up buying a single-row thread mill, it can be used for a wide range of thread pitches, but is slower, as you have to go around the part the number of threads on it to complete it. I only used it a few times to do oddball threads. A tap is way faster.
It's supply and demand. They probably sell a million taps for every thread mill, the competition is plentiful, and most of the R&D was done in the 19th century. That keeps the price of taps down to not a lot more than the cost of material, while the price of thread mills is whatever the free market will bear.
MSC lists some non-carbide thread mills, cobalt or powdered metallurgy stuff, but it isn't any cheaper.
That's my theory since I can't see any reason for a difference in manufacturing cost vs. a comparable size tap. Indeed a tap for the same thread size will have a bit more material since it has to be the full dia vs. a thread mill which has to clear all the threads.
Searching around I see plenty of options out there, but none are cheap. I'll probably pick up something cheap-ish on fleabay just so I can try it out to see how it runs on my machine. If you can thread mill, there isn't much reason to bother trying to upgrade the machine to do rigid tapping, and thus avoid the work trying to fit a spindle encoder.