It's a complex answer, but I'll see what I can do to simplify it.
First, humans associate louder sound levels with higher quality, up to a point. Frequencies which can't be heard at lower levels become audible at higher levels.
Second, human ears adapt to a reasonably large range of sounds.
Third, sound levels decay with distance, which is why in ear phones use tiny amounts of power (a few milliwatts) and speaker systems for arena concerts can use megawatts. They also decay unevenly by frequency.
A classical Western concert with a full orchestra, unamplified, often has peak levels around 90 dB in the first few rows of seating. An amplified rock concert is trying to provide body-stirring levels of sound for people a hundred meters or more away from the stage.
That's the technical why. The personal why? Loud music literally moves you. It's not something I want every day, but it's fun on occasion.
The amazing thing about them is that they let you go to a live concert and hear all the music properly, without pain.