Role of capacitors in electric guitar's output to phone mic input converter
It looks like those capacitors and the optional ferrite bead are only meant to attenuate high frequencies.

It is fine to squash everything above 20 kHz in a audio signal because you can't hear above that anyway.  The audio circuit in the phone probably does that already anyway.  However, if really high frequencies get in there, then you can't rely on active electronics still working as intended.  Pickup from radio stations and the like can be so high that the circuitry intended for audio frequencies can't actively deal with and properly reject the signal.  Put another way, the amplifier no longer acts linearly at these high frequencies, so distortions in the frequency range you can hear can result.  All it takes is a little assymetry in dealing with the signal, and you get a little AM demodulation, for example.  There are other effects too.

Look at the rolloff frequency of C3 and R3, which is F = 1 / (2 &pi; R C) = 72 kHz.  C2 is somewhat misguided in that it forms a capacitive voltage divider with C1.  It doesn't attenuate high frequencies by itself, and relies on the input signal having some finite impedance.

This is not a great design, which of course shouldn't be surprsing for something you found on the web.