Servers don't create and maintain themselves, no. But the publishers don't have to bother with it. In games with dedicated servers, the gamers host their own servers -- they usually pay for them with donations from server regulars. In the case of matchmaking, there's one central server that handles a tiny amount of data (it literally does nothing but keep track of player stats; things like how many times you've prestiged in a CoD game) and the individual players handle the rest through a peer to peer network. Even then, the bandwidth used by a game is tiny; WoW players cost Blizzard less than a dollar a month a piece, and they're ridiculously hard on the servers. For the average FPS, we're talking kilobytes of data in an average play session, maybe upgraded to megabytes if voice chat is being carried too. That costs next to nothing; the only reason the servers are as expensive as they are is because most groups just rent them from a third party. A lot of older games (with lower system requirements for the server) that still have dedicated servers are hosted on an old linux box in some guys garage, using his home internet connection. The whole "servers are expensive" deal is a lie to get consumers on the publisher's side; gamers, having a history of gullibility in this area, fell for it hook, line, and sinker.
Edit: and to emphasisze, the servers for WoW are hosted by Blizzard. The servers for nearly all FPS's (Planetside and Quake Live being the only exceptions I can think of -- and surprise surprise, the former is on a subscription based model just like WoW, while the latter is free to the user, with ads and premium accounts (which get rid of the ads and let you host your own servers) are hosted by the users, who pay for everything.