The lyric immediately before is "If that's love, it comes at much too high a cost"
Put them together:
"If that's love, it comes at much too high a cost
I'd sooner buy defying gravity"
The grammar is a little stretched (you can buy [believe in or subscribe to] the concept of defying gravity, but you can't buy a verb), but it makes sense conceptually.
A lot of people like to take the Wicked lyrics out of context and ridicule them, but most of the writing (not all, but most) is actually clever and makes sense in the context of the song and the world of the show.
Nothing matters but knowing nothing matters. ~ Wicked
Everything in life is only for now. ~ Avenue Q
There is no future, there is no past. I live this moment as my last. ~ Rent
"He's a tramp, but I love him."