CF cards, like all types of flash memory, do wear out. They can only withstand a certain number of program/erase (P/E) cycles. However, what that number is for any given device may not be easy to ascertain. According to Wikipedia, most commercially available flash products are guaranteed to withstand around 100,000 P/E cycles before the wear begins to deteriorate the integrity of the storage. CF cards have onboard controllers which try to ensure that all parts of the card are used evenly. So if you completely fill a card and reformat it every day, that translates to a life expectancy of around 300 years. Half fill it and reformat every day, 600 years, and so on.
Obviously this is a bit simplistic, but even so I think it shows why manufacturers such as Sandisk are willing to offer lifetime warranties on their cards.