Angels are commonly depicted holding harps, despite the fact that the bible never mentions any of them playing one. The reason could be twofold. The gods of ancient Greece were often portrayed as performing with lyres, which look remarkably harp-like. It's not a big leap to say the practice could have made its way into early christian art, and after a while we simply stopped questioning it.
Some argue that harps are meant to represent the music of the spheres. People once thought that the Earth was the center of the universe, and all other celestial objects revolved around it, encased in their own transparent spheres. These spheres resonated with each other as they moved through the ether, creating divine music. This 'music' wasn't considered audible to human ears, but rather represented how the tone produced by the interaction of these heavenly bodies affected the quality of life on Earth. Naturally, angels, as divine servitors, must have aided in the maintenance of this process, helping to create the 'music' that brought harmony to the universe.