The phrase, that is the full sentence, "Too expensive", in general is слишком дорого. Whereas "This is" or "It is" is missing, as well as Это. Дóрого counts as adverbe, because it is a valuation (Шелякин, §107, п.10, ч.2).
However, when it intends from the context, to a subject, say a car, that is missing in the sentence, then it is an adjective and goes with its gender. For example, when the words "The car is" are missing: слишком дорогая, or слишком дорогá because машина is missing. It can be the full or short form in this case (Шелякин, §30, п.6.3, ч.3).
Generally with Слишком дорого you are on the safe side.
When part of a sentence is missing (It is..., Это...) , it is called "incomplete sentence" in the russian grammar. (Шелякин, §99, п.2, последний абзац, by indication)
Finally a native and grammar-knowledgeable russian confirms that до́рого here is an adverb.