In this paper, we generalize the definition of reachable set. The classic definition of reachable set is a set of system states that can be driven into the target set within a given time horizon. Sometimes, the concern of researchers is not the time consumption but some other form of cost of driving the system state toward the target set. Under this background, the definition of cost‐limited reachable set is put forward in this paper. In this definition, the cost is the time integral of some form of running cost, and the running cost can be a function of system state and control input. By introducing a value function, a method to compute the cost‐limited reachable sets is proposed. In this method, the value function is approximated using recursion and interpolation. Then the cost‐limited reachable sets can be characterized by a family of level sets of the value function. At the end of this paper, some examples are taken to illustrate the validity and accuracy of the proposed method.