Costco Wholesale's latest quarterly earnings conference call was "very disturbing," CNBC's Jim Cramer said Friday.

During the call, Costco Chief Financial Officer Richard Galanti addressed concerns about Amazon Prime impacting Costco's membership offering. Costco's membership renewal rates declined as its gross margins narrowed during the fourth quarter.

"As it relates to the publicity and the news and the noise around Amazon and Whole Foods, all we can do is perform," Galanti told analysts and investors.

The CFO then explained that slowing membership sign-ups at Costco were partially a result of decisions the retailer had made in past months, like opting to no longer accept American Express. Costco also raised fees on its 90 million members earlier this year.

"It was very disturbing," according to Cramer, "because it basically just says, 'Amazon is coming for [Costco], and [Costco doesn't] even care what [it] say[s].'"

Shares of Costco were falling more than 6 percent Friday, one day after the retailer reported a drop in quarterly margins, which raised concerns of an intensifying grocer price war. Shoppers were seen buying more fuel, which is less profitable, at Costco during the latest period.

With membership renewal rates on the decline, and management expecting this to continue for another six months, "this remains a top focus for investors given concerns about the competitive environment and migration to online shopping," Jefferies analyst Daniel Binder wrote in a note to clients.

"This could create some volatility in the shares, but strong traffic and comps should provide downside protection," Binder added.

Investors have been wary that Costco's business model, which mainly generates revenue through a niche membership club, faces increased competition from Amazon. The e-commerce giant is shaking up the grocery industry in acquiring Whole Foods.

Meantime, Costco shares have fallen more than 7 percent since the Amazon-Whole Foods deal was announced in June. The retailer's stock is down about 2 percent in 2017.

Investors do not want to pay "25 times earnings for a company that is up against Amazon," Cramer said Friday on "Squawk on the Street."

The host of CNBC's "Mad Money" added that Costco's stock has had a great run, and its stores have "put up some unbelievable numbers in every single aisle" — but "no one is listening."

"They're not signing up like they used to be. ... Do millennials still go there?" Cramer asked. "Every question of the undercurrent is Amazon."

"It's not a comedy, it's a tragedy," he said.

After the bell on Thursday, Costco reported that its fourth-quarter net income rose to $919 million, or $2.08 per share, from $779 million, or $1.77 per share, a year ago.

Total revenue rose 15.7 percent, to $42.30 billion.

For Costco, "Renewal rates will remain the focus for investors over the next year, given concerns about AMZN, grocery delivery and a recent fee hike," Jefferies' Binder reiterated.