To enable massive connectivity and connecting the unconnected, aerial communications are becoming critical to complement with the terrestrial infrastructure. Integrated aerial-terrestrial network (IATN) offers both line-of-sight (LoS) and non-LoS (NLoS) connectivity and deployment flexibility. This paper presents a framework to optimize the deployment of aerial network and cooperation among aerial-terrestrial network such that the network deployment cost efficiency (i.e. the ratio of network sum-rate and deployment-plus-energy-cost) is maximized. The cooperation among unmanned aerial vehicles (UAVs) and terrestrial base-station (BSs) is supported with clustered cell-free massive MIMO (C-CF-M-MIMO). Specifically, we first formulate a Deployment Cost Efficiency (DCE) maximization problem subject to power budget, zero intra-cell pilot contamination, and UAV location constraints. We then propose a grid-based joint UAV density and location optimization, a pilot-contamination aware user clustering, and a distributed coalition game approach for clustering in C-CF-M-MIMO-enabled IATN. Complexity and convergence of the proposed algorithm are presented. Our numerical results show the efficacy of the proposed algorithm compared to conventional benchmarks. The proposed C-CF-M-MIMO-enabled IATN also outperforms terrestrial-only and aerial-only networks enabled with typical cell-free configurations, namely, (i) traditional CF-MIMO, and (ii) user-centric CF-MIMO.