Generally speaking, the overhead of objection creation/collection is going to be lower than the overhead of whatever the EJB container was doing for your entities previously. I suspect a larger concern than object creation overhead is round-trips to the database. Depending on your EJB container configuration, it's likely the container was optimizing the JDBC SQL and possibly caching the retrieved data (unrelated to object caching). You should likely design your application to minimize calls to the database and ensure you don't execute unnecessary queries.
Ultimately, I suspect only you are going to be able to assess the performance of your application on your application server on your hardware. I recommend following good programming practices to avoid egregious overhead, profile the result, and optimize from there rather than worrying about the performance up-front.