When you think about it, a cable isn't just a wire. The ends are important too. They're the point of contact between the wire and everything else, and if that connection isn't very good, then you'll have problems.
Coaxial cables use a variety of connectors but they all have one thing in common: the center conductor of the wire forms part of the connector. Take a look at this RCA connector, used for audio and video connections:
The wire on the inside is soldered (you hope) to the center part of the connection. This introduces some loss and potentially some interference. With audio, and even with standard-definition video, there isn't really much to worry about because the signal isn't as complex as it is for cable, satellite, and HDTV.
Now, take a look at this coaxial cable:
As you can see the center conductor is part of the connector. It will make direct contact with the device it's connected to. Loss is kept at a minimum and the signal is as strong as it can be.