babies and young children in general don't like loud noises, their little ear drums are sensitive to extreme noise, id try to avoid anything extra loud until they are older.. also they could have an ear infection which would make the sensitivity worse.
A reason for a toddler to complain about loud noises could be that their ears are more sensitive than an adults ears are and recorded noises are simply being played too loudly for them.
A hearing problem could cause the complain. This happened to my niece and she was diagnosed with mild hearing loss. Have your toddler's ears checked by an ENT.