That used to be true with me for many years, until I finally was able to raise the quality of sound in my digital end to that of my vinyl. Now both are completely engaging and I get wrapped up in the music on a CD or streaming.
At least for me, it was my subconscious not being moved by the digital music… it would get bored. The rhythm and pace was not good as well as the midrange bloom. As soon as those were improved, I no longer had any desire to change what I was listening to.