Interconnects can sound different.
Loudspeaker cables can sound different.

Yet out of every field of scientific endeavour only a subset of audiophiles 'believe' mains cables make a difference to the performance of what is plugged into them. Why do you think that is? Our hearing is band limited more than all decent microphones. Oscilloscopes and distortion analyzers are two orders of magnitude more accurate than our ears, and no piece of electrical measurement gear is affected by sighted, confirmation, or any other type of experimental bias.

On the balance of probabilities, it does seem like the simple answer is that some of us are just fooling ourselves...being duped into parting large sums of money.