While it is true if there is intelligent life there, they may not have radio communication, why would we not want to send a message?
For one thing, it would take a lot of power to send one that was strong and focused enough to be comprehensible across interstellar distances. Doing that before you've found out if there's any chance of reception is putting the cart before the horse, don't you think? You're focusing on the wrong set of priorities. There are more fundamental questions where our attention should be focused before we get to that one.
And while the desire to communicate with other life in the universe is understandable, it's not the end-all and be-all of science. There's a wealth of amazing stuff we can learn about life and nature and physics without intelligence or communication coming into the picture at all. That's just one narrow slice of the subject.
I would think the cost would be small compared to developing an orbiting telescope array or an interstellar probe.