All the components of a relay have inherent capacitances that are determined by the materials and physical configuration of the relay.
The typical capacitance from switch contacts to the coil is 0.2 - 15pF. This capacitance can couple noise or other signals from the contacts to the control lines, and vice versa. Noise can also be coupled to a different switch through its contact-coil capacitance if it is driven by the same coil supply. An electrostatic shield between the switch and the coil can reduce noise by as much as a factor of 110. In addition, there is also capacitance across open contacts. This type of capacitance depends on the contact area and the gap of the switch and is typically less than 2pF.
These inherent capacitances, due to physical characteristics of the relay, are one factor in limiting the frequency of the signal the relay switches.