They can do. For this reason, many audiophiles take the grills off their speakers.
Typically, the grills are designed and built from materials that will minimise the impact on the sound quality, whilst still providing the protection needed for the speakers intended use case.
Due to the physics of sound waves, the higher frequency sounds are affected more (in basic terms) and you’re more likely to have hearing damage in the higher frequencies, so these factors, plus others, mean you may not notice the effect
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