Any transaction costs go to paying the auction house for things like catering, electricity, security, rent etc. No worse than a bunch of rich people spending money at a restaurant.

There's an argument that auction houses aren't paying their way for the services they use (especially in expensive areas), and other functions occupying that space could be better for society. A land value tax would solve that. I'm not aware that auction houses rely on other things like copyright or patents that can stifle economic activity.