This is outside my area of expertise, but I've heard that there's a keepalive timeout for open sockets set by the cell carriers. (Again, don't know the details.) So, there is a small cost to keep a TCP connection open, in order to avoid this timeout.
Also, as I mentioned in my previous comment: Even if keeping the socket open is free, every time you send a packet there's a cost -- both for the actual data transmission, as well as a medium-power state the radio enters for a bit before really going to sleep. And given the number of apps that use background data, background traffic on a phone can get quite chatty. This is why it's important to synchronize background activity across apps. If you implement your own push channel, there's no way for the OS to do any sort of synchronization.
Also, as I mentioned in my previous comment: Even if keeping the socket open is free, every time you send a packet there's a cost -- both for the actual data transmission, as well as a medium-power state the radio enters for a bit before really going to sleep. And given the number of apps that use background data, background traffic on a phone can get quite chatty. This is why it's important to synchronize background activity across apps. If you implement your own push channel, there's no way for the OS to do any sort of synchronization.