It has to do with the analog/digital/analog conversion. A normal radio is analog. to get the sound to the speaker, it has to be converted to a digital signal in order to get it to the speaker (Bluetooth/ optical etc) . In the speaker the signal has to be reconverted into an analog signal so you can hear the sound again. All that take a little time, depending on how good your speaker is.
The same happens if you connect a surround sound system to your TV. There is always a slight delay