In physics, electrical capacitance is the ability of a material to store charge when a voltage is applied across it. 1 Farad = 1 Coulomb per Volt
All materials have capacitance, no matter how large or small the charge capacity that they possess. There are no such things as perfect insulators either; only poor conductors, so even cable sheathing may affect the overall electrical capacitance. I don't know enough science to elaborate on this.
Whilst the capacitance of capacitors can be in the order of whole Farads, millifarads or microfarads, cables can have capacitance in the order of picofarads (10^-12 Farads), which is very small but is still measurable and can still have an effect on signal transmission. Think of it like this: If you are sending a rapidly changing signal down a conductor and the material electrical recovery time is not rapid enough to keep up with the changes, then there will be what is called intermodulation distortion. This term describes the time lag of the material behind the true signal. Seeing as I did some neuroscience at university, perhaps look up "relative refractory period" and "absolute refractory period" of nerve impluses; it is a similar kind of principle in that if wave intervals are too rapid for the material to keep up with, the output will be different than if the signal is sent down the material when in its "resting" state.
Long story short, if the material has a higher capacitance, it will store more charge when the signal propagates down the conductor, affecting subsequent signals adversely. So a lower capacitance means less charge stored per unit of potential difference, meaning less intermodulation distortion (material recovery won't lag behind the signal speed), meaning purer audio due to more faithful phase alignment.
Sorry if this is confusing. It may not be completely accurate. I haven't checked it; this just came out of my head and is how I reason with the principle.