Because they're poorly made. Some of the wiring inside the speaker acts as an antenna, and some part of the circuit provides the diode behavior necessary for demodulation. The resulting audio frequency energy is faithfully amplified by the power amplifier, and viola, you have a radio.
Is this at home? Are they plugged into a computer? Do you get the radio when you unplug them from the computer?
My company helped a building in Philly with a problem where the frame of the building was receiving radio waves and everything with a microphone or speakers on certain floors would play the radio station being broadcast from next door.