Personally, I find living well below my means leads to a great deal of happiness. I never have to stress about money. Never have to worry about losing my job (as long as it isn't a long term loss). I can make future career decisions based on quality of life a not raw salary.
It's an opportunity cost like anything else, but I would argue having more wealth than you need is a tangible benefit all its own.
I don't think Taleb was advocating living above one's means, but that aestheticism is not necessarily a high moral accomplishment. You can't take your wealth across the River Styx, and Charon only demands a single coin, so what's the point of amassing it?
It's an opportunity cost like anything else, but I would argue having more wealth than you need is a tangible benefit all its own.