Larger intercoolers, yes - because the materials would grow along with the size (because the core has material).
Larger piping/turbos, etc... - no. Or else we'd see aftermarket exhausts that weigh a LOT more than stock, because of the bigger dimensions (removing the resonators as a point of weight loss). Fact is - sometimes the material weighs less - and the added size is filled with air/nothing. For example a stock steel center pipe of 76mm might weigh more than an aftermarket SS 90mm pipe (depending on thickness).
I figure the same goes for the turbo's, downpipes, etc...
Most of the weight loss we see comes from exhaust components, seats, wheels/tires, and maybe a little from CF panel replacement (relatively - but that starts bringing up the price a little)