In order for a wire to act as an antenna, the circuit needs to be susceptible to the interference via the characteristics of the components/circuit, strength of the interfering signal and proximity. Amplified audio signal going to low impedance speakers and amplifier output stages aren't susceptible unless the signal is very strong and it's mainly EMI that might affect it but if an RF source is strong, it might enter but usually in a part of the device where the signal will be amplified later, which means the interference didn't enter via the speaker wires.
If the speaker filters the signal, does that allow it to fit the adjective 'high fidelity' if 'fidelity' matches the Miriam-Webster definition "the degree to which an electronic device (such as a record player, radio, or television)
accurately reproduces its effect (such as sound or picture)"? The rest of the equipment might match it, but the wire acting as a filter doesn't. It's not easy to design a material to make it filter without molesting some other part of the signal unless the frequencies that need to be filtered out are very fr from the audio signals.