There's definitely a cost to all that coziness; it's all about tradeoffs. Garbage collection, bounds checks, APIs that trade memory efficiency for ease-of-use, to name a few.

It's not to say that C# will always be 10x memory usage, however, it will always be somewhat higher. Even with a linker, when you run a .NET app, it's not just loading your C# code, but also .NET code that you call into (linker helps keep this slim) and of course the Common Language Runtime C++ code that executes your app and manages its memory.