There's nothing wrong with your sentence, but it would be more idiomatic just to say, "...comes with a price."

Although, "come with a price" exists, the most general expressions for the figurative philosophical cost of everything in life would be the sentences above, according to people in the WordReference forum. It'd be great if Adam could give us his view on this. It seems that "with a price" is quite popular as well. Cheers!