is this a sercurity isusse

If you put a bootable linux CD ("Live CD") in your optical drive, restart your computer, and see the Ubuntu Live CD splash screen come up, then that means that the computer is choosing to boot off of the Live CD.

There are three primary reasons why a computer will boot from CD:
1) There is no hard drive or other drive to boot from, or the hard drive is not bootable (it might be broken, disconnected, etc..)
2) The user holds down a certain keypress during startup to force a boot from CD
3) The CD is higher in the BIOS boot list than other devices

As for a music CD or a DVD, some computers have the ability to play CDs and DVDs without booting up the primary OS of the machine. This is often accomplished by using an "Instant on" system on laptops: http://en.wikipedia.org/wiki/Instant_on

"Is this a security issue?"
If someone can boot up your machine with a LiveCD they can then probably mount any physical drives in the machine and access any non-encrypted data on them. But remember that if someone has physical access to your machine they could just take the hard drive out, copy it, and replace it.

So I'd worry more about keeping your laptop or desktop physically secure and/or encrypting any sensitive data on the machine. You can find more information here: https://help.ubuntu.com/community/EncryptedFilesystems