Why do components sound different?

I have always wondered why there is so much discussion about how a pre-amp, amp, DAC, streamer sound.

To me, they should not have any sound! They are merely passing the signal thru to the next device until they get to your ears from your headphones or speakers.

The perfect component would have a linear frequency response, no distortion ( no harmonics which are overtones of the original signal) and introduce no other frequencies.

Anything else is just hard to measure and can only be described in words like "warm", "soundstage", "harsh", "lifelike".

Thoughts?