The player and the charger use very different grounds. This is fine normally, but if you hook up the charger to the player and the speaker at the same time, you short the clip ground (which is probably about 1 Volt) to the speaker ground, which is probably hooked up the charger ground. Hence you create a short circuit. The player then disconnects the power to its analog out to avoid vaporizing itself.
A coupling capacitor or isolation transformer will break the loop.