I agree with everyone else above. If you listen to CDs via a coax cable, you are sending digital signals from the CD player to your receiver, which performs the conversion from digital to analog. If you listen via the RCA cables, your CD player coverts the digital to analog, and your receiver gets analog signals.
Most receivers convert all incoming analog signals into digital for further processing, and then convert them back into analog before amplifying them for the speakers. Some receivers allow you to prevent that and keep the signals analog. What receiver are you using?