It certainly depends on the type of module. For example, I don't think any product developer would use a DC-DC converter module, they're way too big, too expensive, and a EE can design their own using a tiny (3x3 mm) IC and a few extra components in an afternoon.
However when you get into wireless modules, that is a different story. For example, I have used Bluetooth modules such as the BLE113 from Bluegiga. It contains both the BLE modem and a chip antenna (the grayish SMT component at the upper left corner).
This entire module is FCC certified as a unit. If I was to use the BLE modem by itself, using my own antenna, I would have to spend ten thousand dollars or more doing FCC testing to get it certified. So even if the module costs $5 more than the modem itself, I'd have to sell 2000 of them before I'd break even. And that doesn't take into consideration the cost of designing my own antenna.
So it all depends on volume. If you are going to be making a Bluetooth dongle, where both space and cost are at a premium, and you may sell tens of thousands or even hundreds of thousands of them, then you are going to want to make as much in house as you can.