I've just read this interesting blog post about selectivity notion. In the section 'When is better to not use a database index?', the author states :
Accessing the index takes time, and consumes resources. If we are accessing the index 5,000 times, it is actually faster to just directly access the table and do a full table scan.
which ressources the author is speaking about here ? shoul I bother about this ? or it's up to the RDBMS to manage all this for me ?