If by "free," you mean many PhD programs will waive tuition for grad students, then yes. You might also be forgiven for thinking that you actually make money as a grad student because you're getting a small stipend (depending on the program anywhere from ~20k-33k to start).

That being said, they get far more value than that back from you and then a pound of flesh for good measure. You're only taking classes for 1.5 to 2 years, and then the rest of the time you're doing research for your advisor, teaching courses for them, or doing their grading for them. Don't get me wrong, you get a lot back in return in terms of knowledge, experience, and the degree. There are many great mentors who don't abuse the system and do their best to graduate you in a timely manner, but even in those best case you're still on subsistence wages and some programs explicitly forbid outside employment or income.