Yes, they do.
But in most cases it's at a low enough level that you can't hear the difference. If you can, then the cables are seriously distorting the sound.
"Effects of Cable, Loudspeaker,and Amplifier Interactions" by
Fred E. Davis, J.AudioEng.Soc., Vol.39, No.6, 1991 June
According to the paper, all of the cables tested introduced a measurable roll-off in high frequencies above 1KHz, but differed by a maximum of only 1/4 of a dbV at 20KHz. Traditional 12 gauge was roughly in the middle of the pack, while flat multiwire cables introduced the least loss. Cable inductance was primarily responsible. Whether anybody can actually distinguish a 0.25 dbV difference at 20KHz is another matter entirely.