You need to use another SQL statement (DML, so insert, update, insert or merge) that actually uses the CTE.

WITH CTE_Test (ID)

AS

(

SELECT CAST(id AS VARCHAR(60)) FROM cat_transaction

EXCEPT

SELECT ext_reference FROM Patricia.dbo.BUDGET_LINE

)

SELECT * FROM CTE_Test;

Also, the semicolon for the WITH is only necessary if there are other statements preceding the CTE. And you should terminate them with a semicolon, not start the CTE with one.