To maximize foraging duration at depth, diving mammals are expected to use the lowest cost optimal speed during descent and ascent transit and to minimize the cost of transport by achieving neutral buoyancy. Here, we outfitted 18 deep-diving long-finned pilot whales with multi-sensor data loggers and found indications that their diving strategy is associated with higher costs than those of other deep-diving toothed whales. Theoretical models predict that optimal speed is proportional to (basal metabolic rate/drag)1/3 and therefore to body mass0.05. The transit speed of tagged animals (2.7±0.3 m s−1) was substantially higher than the optimal speed predicted from body mass (1.4–1.7 m s−1). According to the theoretical models, this choice of high transit speed, given a similar drag coefficient (median, 0.0035) to that in other cetaceans, indicated greater basal metabolic costs during diving than for other cetaceans. This could explain the comparatively short duration (8.9±1.5 min) of their deep dives (maximum depth, 444±85 m). Hydrodynamic gliding models indicated negative buoyancy of tissue body density (1038.8± 1.6 kg m–3, ±95% credible interval, CI) and similar diving gas volume (34.6±0.6 ml kg−1, ±95% CI) to those in other deep-diving toothed whales. High diving metabolic rate and costly negative buoyancy imply a ‘spend more, gain more’ strategy of long-finned pilot whales, differing from that in other deep-diving toothed whales, which limits the costs of locomotion during foraging. We also found that net buoyancy affected the optimal speed: high transit speeds gradually decreased during ascent as the whales approached neutral buoyancy owing to gas expansion.