High entropy alloys (HEAs) are a highly promising class of materials for electrocatalysis as their unique active site distributions break the scaling relations that limit the activity of conventional transition metal catalysts. Existing Bayesian optimization (BO)-based virtual screening approaches focus on catalytic activity as the sole objective and correspondingly tend to identify promising materials that are unlikely to be entropically stabilized. Here, we overcome this limitation with a multiobjective BO framework for HEAs that simultaneously targets activity, cost-effectiveness, and entropic stabilization. With diversity-guided batch selection further boosting its data efficiency, the framework readily identifies numerous promising candidates for the oxygen reduction reaction that strike the balance between all three objectives in hitherto unchartered HEA design spaces comprising up to 10 elements.