I'm a christian and I don't say that. As a christian I have contact with a lot of other christians and they don't say that. So, not all christians say that.
Some christians say that because they have this black/white view of life: this world is all evil, everything related to the church is good. I'm not saying that this is the case of the Christians you know, but it just might be.
Other christians see that God rule over everything. So, although there's a lot of evil in this world, because of sin and Satan, there is a lot of good too, because God is still the ruler, and the only evil there is is the one he allows it to exist.
So, although music, literature, tv, etc. can be evil, that's not necessarily the case. If you seek God and his kingdom in the first place, you can tell what brings you closer to God and what doesn't.