This is true only when restricting passive elements to R,L,C, and maybe crystals that are properly driven - and even then, there are two exceptions, see below. Intentional and unintentional diodes, varistors, thermistors with a thermal mass, and other non-linear elements can quickly introduce distortions to a pure sinusoidal inputs. Overdriven crystals or ceramic filters might also behave rather nonlinear. If including two-terminal elements with negative resistance (gas discharge tubes, tunnel diodes) in the passive category, even more possibilities exist.
The exceptions:
Real-world parts tend to have imperfections that make them behave a bit like some nonlinear elements. Resistors can have "thermistor with a thermal mass" and even "varistor" behaviour. Capacitors can have voltage dependency in their value due to piezoelectric effects, electric fields yielding mechanical force, chemical effects (in electrolytics). Also, some electret-like effects seem to be documented for capacitors. Metal to metal joints can develop diode-like behaviour. Inductors can become nonlinear through core saturation, interaction of the magnetic field with nearby metal objects, etc...
All resistive components carrying a current exhibit some noise generating behaviours, the lower limits of which are defined by hard physics.
Mind that all real-life seemingly non-sinusoidal, repetitive signals can be perfectly described as a sum of sine waves of varying frequencies and phases.
Looking for the connection to nature will have you going in circles: Sine waves are the principal ingredient in making circles and ovals and round things, according to maths geeks (if you want to draw a circle on a computer, you will usually either use sine/cosine functions or use pythagoras' theorem directly in some way...) . Nature makes a lot of round things (hair, plant stalks, cherries, cherry stains, tornadoes, etc) and keeps an ample supply of sine waves around for that purpose.