Yes. You even have to set up a separate "travel" account, separate from your regular Costco account. That being said, it can be worth the price of annual membership on a good single one-week rental. They are not ALWAYS the cheapest, but are generally the best about 60-70% of the time. I had a three day reservation in HPN last week, booked through Costco for $147, and then re-checked it a few days before, and it was down to $54 AI. That's pretty amazing for that airport.

If you book an occasional flight through Expedia, they give you greatly preferred car rental offers, so I occasionally intentionally book a flight here and there through their system. Their rates, on occasion, beat Costco by a significant amount. I have used autoslash, but I am usually pretty good about ferreting out the lowest available prices.