Small signals such as audio are easily interfered with – fact.
So, “transporting” a small signal needs to be done carefully. If you used ordinary wires you can form an unintentional loop antenna. This loop antenna can add interference into your otherwise clean signal.
However, if your individual wires are twisted together you get less interference: –
Here, the top picture portrays loosely laid individual wires forming an unintentional loop antenna and, in the presence of an interfering magnetic field, will add noise to the signal. The bottom picture shows the wires twisted together and this does two things: –
Reduces the loop area significantly
Successive loops cancel interference
That alone is a big deal but you can improve things by adding a shield like this: –
Not only does this cable type avoid magnetic interference (by twists) but it avoids electric field interference (by shielding).
You can regard coaxial cable as a variant of this – the outer shield (being 0V) protects the inner wire from electric field interference and, because the shield and the inner wire are co-axial there is no net external magnetic field susceptibility (theoretically).
Also, a cable that is not greatly susceptible to external interference is also good at not generating interference.