What's the difference between coax cable and regular electric wire?
The thing about coaxial cable is .. it's coaxial.

That means there is a core conductor running inside a shield. The shield is usually connected to ground. The filler material inside the cable keeps the core a specific distance from the shield, and with a specific dielectric constant, k. That causes the cable to have a specific, low, well-defined impedance to high-frequency signals like video.

It also rejects interference from outside sources. External electric and magnetic fields can touch the shield, but they can't reach inside - the  field inside a conductive hollow cylinder must be zero. This is the most important factor. If you run video over cable not designed for it it will collapse into noise after a short distance.