Annabeth's statement means that there is always some form of cost or consequence associated with receiving a gift or favor, even if it is not immediately apparent. This could be in the form of an expectation of reciprocity, a burden of responsibility or obligation, or unintended consequences that may arise from the gift.
In Percy's case, he received three magic pearls from Nereid for seemingly no reason. However, it is possible that there may be consequences or expectations associated with this gift that are not immediately apparent. For example, Nereid may expect Percy to use the pearls to help her with a task in the future or may have some other expectation of him in exchange for the gift.
Therefore, I agree with Annabeth's statement that no gift comes without a price. It is important to consider the potential costs or consequences of accepting a gift or favor, even if they are not immediately apparent, in order to make informed decisions and avoid unintended negative consequences.