In many animals, hearing gets less sensitive in general when they sleep. I think it's common for people to be surprised by that, but it works that way to maximize sleep function.

Dog's are thought to be an exception, because part of their domestication involved selection for the offspring that was more alert (watch dogs).

The brain is thought to be hyper sensitive to a certain subset of sounds while sleeping, such as babies crying.

White noise is thought to work by drowning out the sounds we are most sensitive to.