It's all part of an underlying law of nature to take the easiest route with least resistance.
It's more that our brains have evolved to synthesize information from multiple senses, rather than relying on individual senses in isolation.
If your ears hear what might be a predator, but your eyes don't see one, you want your brain to think, "Run!" The primates who didn't run were less likely to pass their genes onto us.
Similarly, if your ears detect no difference between two cables but your eyes (or the guy at the audio store) tell you they 're different, your brain will conclude that they are different. And drawing that conclusion appears to affect one's conscious judgment about the sound.