Some CCTV cameras do have the capability of recording audio, although analogue CCTV cameras and IP CCTV cameras record the sound in different ways.
Analogue CCTV cameras require that the audio input is directly fed into the DVR which means that the audio is recorded in analogue and digitised at the recorder. There are limitations using audio with analogue cameras as DVRs only have a limited number of inputs which limits the number of cameras that audio can be recorded from. Learn more here.
IP CCTV cameras are much more flexible and the audio input is fed into the IP camera itself and the digitisation of the audio is done at camera level. This results in better sound quality and this method also allows for more cameras to be able to record audio.
However, the vast majority of cameras in the UK do not record audio as there is a host of legislation that CCTV operators must subscribe to to stay on the right side of the law.