Pets can be pretty sensitive to loud noises, and these noises can be particularly frightening when they don't recognize the noise or understand where it's coming from. At one point or another, you've probably seen your dog get spooked by a smoke alarm going off, or your cat run for cover when a car down the street blares its horn a little too loud.
But I'd say there's no worse noise for our pets to experience than fireworks, because those things are loud.