Such tight border restrictions based on nationalism are a relatively recent phenomenon in many countries. Theirs no more logic to them than restricting movement between counties and cities.
How would it cause a problem?
Immigrants are disproportionately young males in their prime working age. Sweden didn't have to spend money raising them. They'll be paying into the system for years and in the process keeping the generous Swedish welfare system operational in the face of a rapidly-aging population.
Socialist countries (and I mean Socialist not European Welfare States), however, have historically been among the most desperate to restrict the freedom of movement of individuals. Its not an exclusively Libertarian position but its one that's well in line with Libertarianism among other ideologies.
I'll agree on that. I was going to make a point against it earlier actually but thought the better of it. I just think if your thinking in current terms than the argument that its ridiculously expensive can definitely apply to certain situations. :/