While I hate all those parasites, AFAIK this is not true. They pay taxes (8k is after taxation), homeland taxes and pension contribution (3,5%)
Discussion
They pay no local taxes like you or I as they are exempt.. see:
Article 12 of the Protocol on the Privileges and Immunities of the European Union
They do have a much smaller deduction called a "European Community Tax" and the salaries are net of this. As this is a tax they pay back to themselves, it's not really a tax.