Can every measure-valued solution to the compressible Euler equations be approximated by a sequence of weak solutions? We prove that the answer is negative: generalizing a well-known rigidity result of Ball and James to a more general situation, we construct an explicit measure-valued solution for the compressible Euler equations which cannot be generated by a sequence of distributional solutions. We also give an abstract necessary condition for measure-valued solutions to be generated by weak solutions, relying on work of Fonseca and Müller. While a priori it is not unexpected that not every measure-valued solution arises from a sequence of weak solutions, it is noteworthy that this observation in the compressible case is in contrast to the incompressible situation, where every measure-valued solution can be approximated by weak solutions, as shown by Székelyhidi and Wiedemann. The final publication is available at Springer via http://dx.doi.org/10.1007/s10231-016-0629-9.