From FAIR:

Illegal immigration now costs Arizona taxpayers about $1.3 billion annually, finds a new report, "The Costs of Illegal Immigration to Arizonans," published by the Federation for American Immigration Reform (FAIR). The report shows a nearly nine-fold increase in the costs of illegal immigration during the past decade, and that the burden on the state's taxpayers continues to grow rapidly. The average native-born-headed household in Arizona now bears more than $700 a year in additional costs due to mass illegal immigration to the state, finds the report.

...Only a small fraction of these and other costs incurred by the state are offset by an estimated $257 million a year that illegal aliens pay in taxes to the state.