Depends upon your planned usage of the files and security requirements.
- Are you going to store the files for archive purposes only? If so then Azure Storage is probably a better location because you can lock it down more easily.
- Do users need to be able to read/write the file? If so then SharePoint is the only real option over Azure Storage because Azure Storage requires either programmatic access or using the Azure Portal (which isn't a good UI solution).
- Do you need to be able to share access to files? If so then SharePoint is designed for this. While you can "share" files in Azure Storage it requires programmatic access or using Azure Portal.
- Do you need file versioning? SharePoint is the winner here as well. Azure Storage (ignoring some basic storage options) is really just for storing files.
Yes, the more you store in SharePoint the costlier it gets but that is because it is more readily available and the UI is provided. Azure Storage is better at storing files long term and pretty much requires programmatic access so is best used for storing things you will provide a UI wrapper around. The cost is less but you have to build the infrastructure to work with it.
Some other things you might consider.
- Move any legacy files that are only needed for historical purposes and are rarely (if ever) updated to Azure Storage and keep only "active" files in SharePoint.
- OneDrive is good for storing large sets of files as well and allows sharing. To me it is a poor man's SharePoint but is cheaper. However if multiple people need read/write access then it doesn't work out so well. But it is an alternative to Azure Storage if you don't want to build a UI around it.
You can get the costs for all Azure services based upon your needs (region, estimated size, performance, etc) using the Azure Calculator.