A bit more elaborated:
To carry an Electromagnetic wave signal at a specific frequency range requires the "media" to be as "smooth" as possible,as not to disturb the prorogation of the signal from one point to the other .
We do this by using "wave guides",most of them are coaxial cables.
The connectors are used at the ends to physically connect the source and destination.
This will insert a disturbance in the wave guide(transmission line) in the form of impedance mismatch because of the way the connector is build,the dielectric used,it's size,the quality of the mechanical connection etc.
These mismatches are defined in many ways, the most common being insertion loss and return loss vs. frequency
The higher the frequency the higher the disturbance.
So, for higher frequencies a better design and build quality is needed..
BNC isn't a good choice for high frequencies,
use
N-type(if space and budget allows) or
SMA..
For good performance,I personally wouldn't use BNC above 1GHz.
Here is a catalog of K and V types that will reach 65GHz.
For further reading on above 100GHz connectors development look
here.