CD players have filters that prevent anything beyond 22 kHz getting out. Whatever is causing the problem, it is almost certainly not the CD player. Does the problem exist even with the speaker turned off? Turned down low? When playing cassete recordings? Does it depend in any way on the type of music.
An acoustical engineer could perhaps bring in $20,000 of gear and do a spectrum analysis, but my guess is that whatever it is comes from something simple.
