Introduction: There is a substantial lack of home-based exercise programs in the highly vulnerable group of geriatric patients with cognitive impairment (CI) after discharge from ward rehabilitation. Beyond clinical effectiveness, the cost-effectiveness of intervention programs to enhance physical performance is not well investigated in this target group. Objective: The aim of the study was to determine the cost-effectiveness of a 12-week home-based exercise intervention following discharge from ward rehabilitation compared to unspecified flexibility training for geriatric patients with CI from a societal perspective. Methods: This cost-effectiveness study was conducted alongside a randomized placebo-controlled trial. A total of 118 geriatric patients with CI (Mini-Mental State Examination score: 17–26) were randomized either to the intervention group (IG, n = 63) or control group (CG, n = 55). Participants in the IG received a home-based individually tailored exercise program to increase physical performance, while participants in the CG received unspecific flexibility training (placebo control). Healthcare service use, physical performance (Short Physical Performance Battery, SPPB), and quality of life (EQ-5D-3L) were measured over 24 weeks. The net monetary benefit (NMB) approach was applied to calculate incremental cost-effectiveness of the exercise intervention compared to the CG with respect to improvement of (a) physical performance on the SPPB and (b) quality-adjusted life years (QALYs). Results: Physical performance was significantly improved in the IG compared to the CG (mean difference at 24 weeks: 1.3 points; 95% confidence interval [95% CI] = 0.5–2.2; p = 0.003), while health-related quality of life did not significantly differ between the groups at 24 weeks (mean difference: 0.08; 95% CI = −0.05 to 0.21; p = 0.218). Mean costs to implement the home-based exercise intervention were EUR 284 per patient. The probability of a positive incremental NMB of the intervention reached a maximum of 92% at a willingness to pay (WTP) of EUR 500 per point on the SPPB. The probability of cost-utility referring to QALYs was 85% at a WTP of EUR 5,000 per QALY. Conclusion: The home-based exercise intervention demonstrated high probability of cost-effectiveness in terms of improved physical performance in older adults with CI following discharge from ward rehabilitation, but not in terms of quality of life.