I guess it depends on how certain you are that said friend will copy the CD. If you know they are borrowing it specifically because they want to copy it, then I'd say you are guilty as well for 'facilitation' (so to speak).
If it's only a possibility that he 'could' burn it and it's unclear whether they will, then my gut reaction would be you are in the clear. You paid for it, and a reasonable person should be able to loan items to friends without the expectation of policing their friends behavior with the items.
Sorta like if I loan my car to a buddy who I know drinks, but I don't know he's going out drinking tonight, and he gets a DUI that's all on him IMO. But if he has a drinking problem and I know he's going out tonight and loan him my car then I'm on the hook for some level of culpability for the DUI.
I don't lend CD's to friends mostly because I either (1) forget I loaned them out and never get them back (2) I've sold off most of my collection except for the really good stuff I don't want to lose track of.