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One of the main reasons was hinted by Olin's answer, at the end, when he spoke about non-linearities. The same is hinted in the excerpt in Nick Alexeev's answer (*"they would overload the player amplifier"*).

I want to be explicit and mention a very easy example: consider a simple amplifier with a voltage gain of 10, bandwidth of 200kHz (even if it is intended only for audio signals), and an output dynamic range of 10Vpp. 

If you feed it with a signal composed with two sine waves, one at 1kHz with amplitude 100mVpp, the other at 100kHz with amplitude 100mVpp, you get both signal amplified at the output, with 1Vpp amplitude for both.
The speaker will filter out the 100kHz component and all is fine.

Now increase the amplitude of the 100kHz input component to 2V. If the amplifier were ideal, you would get an output component at 100kHz with a 20V amplitude. But the output dynamic range is just 10V and the amp will begin saturating just when the 100kHz component is at half its amplitude (the tiny superimposed 1kHz component is just irrelevant at this point). So for the most part of the 100kHz cycle the amp is in full saturation, so it won't amplify anything. 

And even during the most of the rest of the cycle, when the amp is near saturation, it will have a very non-linear response and it will distort heavily, producing a lot of spurious harmonics, and cross-modulation products between the two signals.