Haha. Good one. Totally untrue. First, RJ45 is about a connector and not the physical transport. We assume you mean Cat5e or "ethernet cable." It depends on whether it's shielded, run alongside power cables, how long, etc. Under general conditions, bit rates being the same, there better not be a difference in the digital data being carried. Thus, no audible difference. To figure out why someone perceived better audio over one medium or another, many factors need to be compared. I'd hate to see folks spend money to move to optical because you posted an opinion and perception without supporting it with all the other pertinent info.
Care to tell us more about the conditions? Post some photos of the setup?