An easy way to understand this with dynamic mics is that the coil itself has some resistance, inductance, and capacitance that impedes the flow of the induced current through the coil. That impedance is frequency dependent, so the properties of the coil affect the frequency response.

Same principle applies to all transducers. The acoustic energy is converted into mechanical/kinetic energy and then into electrical energy. So to understand the frequency response you need to understand the acoustic, mechanical, and electrical impedances.