Transients. FFT is time-symmetrical, so signals that start because of an event (like a mallet hitting something) have a lot of "nothing audible "above 20kHz", because of the abrupt start. Forcing nyquist limit on such signal alway causes pre-ringing, that breaks causality - you have sound starting before the event happened.

(edit) e.g. bandwidth limited signal with only a single non-zero sample does not represent a rectangular function, but a sinc.

So, FFT is a lie. But very useful one.