If the parent entities are immutable, or are at least immortal and have primary key values that are immutable, then the DB engine will only need the index on the target primary/unique key/index to maintain the constraint.
Though in general this is not the case, as you say, it is the case often enough that enforcing "FK means an index" could be an annoyance.
Though in general this is not the case, as you say, it is the case often enough that enforcing "FK means an index" could be an annoyance.