If your source is battery powered and your receiver is AC-powered, I can see a few explanations:
You’re inadvertently touching for example both left and right, producing the difference between left and right, played in mono. Fun experiment when intended to hear what’s going on in the mix, for example dry lead vocals panned straight to middle but stereo reverb on the same. If you’re playing a stereo mix, this should be almost as loud as when fully plugged in.
You’re actually only touching one single terminal, “breaking” KVL as there is no closed path for current to flow. The closed loop is formed by an air gap and therefore a capacitor between device chassis or plug, via either air to the cable and/or via you to cable and/or ground. This will have a distinct LF roll-off sound and lower amplitude.
simulate this circuit – Schematic created using CircuitLab
If you’re touching both chassis, you will form a resistive return path between the devices. Depending on how hydrated you are, this will sound as an attenuation of sound but flat frequency characteristic.
Also, the higher your receiver input impedance, the easier it is to hear the capacitive coupling and lower frequency for the -3 dB crossover point.