I have been a long term Costco Customer. I have never seen LV at costco. I will also say I bet this is a urban myth. They sell all kinds of products and some interesting bags. I do not think they would sell fakes.
I am on another board that is dedicated to authentic LV only. One of the boardie there went to a costco and saw LV's on display. From afar it looked ok, but being the LV addict that she examine the bags up close and personal. After looking at them for a period of time, she concluded that it was a good fake. She called the manager over and demanded to know where they got their inventory. The manager did not give her a straight answer and she called the 1800 LV hotline right there on the spot and reported her sighting. The manager ended up asked her to leave the store.
I don't think Costco intended to sell fake LV's,they might have gotten their bags from an unreliable source. LV would NEVER sell their bags to Costco. Even their discontinued bag that does not sell at the boutique gets ship back to the LV France to get shredded.
I did not say the spy was a definite fake, all I am saying is to proceed with caution. Get it authenticated if you end up purchasing one etc.