Yeah, let's dig deeper.
The price of the cable, or having gold connectors won't have any fundamental effect... (it can help)"
Gold plated connectors can actually cause a problem if they're mated with something else. Gold plating is soft. Enough insertions and removals and the gold can wear away, leaving the base metal, which usually corrodes quickly.
Others have identified poor quality parts, assembly and resistance of the leads as common issues, but capacitance is probably more often the culprit in critical application of cables between any two devices!
Resistance will usually manifest as a variation in the signal amplitude, while the others may introduce noise add other undesirables.
Stray capacitance and variations will introduce non-linear artefacts across frequencies, humidity and proximity to other equipment! Resistance variation will make it worse.
Resistance: For line-level connections, you are working into a load impedance of typically 10,000 ohms. Even if your cable had 10 ohms' resistance (absurdly high), the effect would be inaudible.
As for capacitance, you would have to have absurdly high cable C, combined with unusually high output impedance of the driving device, to have a noticeable effect.
Let's run an example. In my office I have a 50-foot run between my audio rack and the mixer that's at the computer desk. (it could have been 12 feet, but I wanted it to run around the walls instead of across the floor.) It's Belden 8761, a fairly conventional and very commonly used shielded twisted pair, running from balanced output and balanced input. Belden shows this stuff to be 47 pf/ft in that configuration. This is actually on the high side as home audio cable goes, but twisted-pair does double the capacitance.
The output impedance of the mixer that's driving the cable is 120 ohms, and that's pretty similar to good home audio gear; a lot of high-end stuff has output impedance down in the tens of ohms (lower drive impedance = better).
The 3 dB rolloff point with 50 feet of 47 pf/ft cable driven by 120 ohms, is above 500 kHz. Yes, five hundred kilohertz.
(The formula is: f = 1 / (2 x pi x Z(output) x C(cable)). See the Rane Audio article I linked above, section "cable as a low-pass filter")
This is a 6 dB/octave rolloff, so its effect in the audio band should be completely negligible.
I think I can live with that. If we were dealing with, say, 600 ohms drive impedance (which used to be common) and much longer cable (which certainly isn't common), that would be different, and we'd want to look at low-capacitance cables and lower-impedance drive circuits. Or a "current drive" configuration that avoids these problems completely.
I hope this puts the audible effect of cables into some real-world context.
The ugly reality, of course, is that some of the "high end" cables are deliberately designed with absurdly high capacitance so as to exacerbate this effect. So yes, they really do sound different, as well as measure different. And any engineer would reject them as "broken as designed". And they charge premium prices for them!