Respiratory water loss during metabolic gas exchange is an unavoidable cost of living for terrestrial insects. It has been suggested to depend on several factors, such as the mode of gas exchange (convective vs. diffusive), species habitat (aridity), body size and measurement conditions (temperature). We measured this cost in terms of respiratory water loss relative to metabolic rate (respiratory water cost of gas exchange; RWL/V˙CO2) for adults of two insect species, the speckled cockroach (Nauphoeta cinerea) and the darkling beetle (Zophobas morio), which are similar in their mode of gas exchange (dominantly convective), habitat (mesic), body size and measurement conditions, by measuring gas exchange patterns using flow-through respirometry. The speckled cockroaches showed both continuous and discontinuous gas exchange patterns, which had significantly a different metabolic rate and respiratory water loss but the same respiratory water cost of gas exchange. The darkling beetles showed continuous gas exchange pattern only, and their metabolic rate, respiratory water loss and respiratory cost of gas exchange were equivalent to those cockroaches using continuous gas exchange. This outcome from our study highlights that the respiratory water cost of gas exchange is similar between species, regardless of gas exchange pattern used, when the confounding factors affecting this cost are controlled. However, the total evaporative water cost of gas exchange is much higher than the respiratory cost because cuticular water loss contributes considerably more to the overall evaporative water loss than respiratory water. We suggest that the total water cost of gas exchange is likely to be a more useful index of environmental adaptation (e.g., aridity) than just the respiratory water cost.