Yeah, in garbage throwaway crappy speakers. Good speakers aren't made of compressed cardboard. It sounds muddier, dirtier, and more muffled than real wood. Plastic sounds about as good as MDF. Cheap floor trim is made from MDF, for crying out loud.
For the same reasons you don't make real instruments out of compressed cardboard.
http://www.vienna-acoustics.com/
Yeah... the reason instruments aren't made from MDF is because they are
supposed to resonate- that's how they produce volume. You've probably noticed that instruments don't have woofers and tweeters (sigh). For
speakers, however, you only want the drivers to produce the sound, not the cabinet. Real wood isn't nearly as dense as MDF, that's why even speakers like the B&W 801's from the 1980's- which were $6000/pair -used MDF covered by a thin veneer.
By the way, here's another Vienna Acoustics link regarding their cabinet construction. The word "Veneer" should be a major clue:
http://www.vienna-acoustics.com/index.php/the-music-company/craftsmanship
Allow me to copy/paste a few sentences to get you started:
"
As you can follow in the accompanying pictures, the manufacturing starts with a medium-density fiberboard, which is milled to its final shape. Glue is applied to the board in carefully selected areas, then a sheet of veneer is wrapped around it, pressed, and dried. As is evident in the pictures, the veneer can follow only the two curves on the long side and then must make the complex transition at the corners."
Any questions?