Their horns technically are their ears (The word most commonly refers to the visible outer ear, but can also be used to refer to the entire hearing organ in general). They're stated as being hollow, so I imagine they absorb and funnel sound in a manner similar to or perhaps even more effectively then the outer ears of the other races.

I found that point rather awkward/amusing in the ARR MSQ for that bit where you deal with the siren by wearing earplugs. Au Ra would need something like a fancy set of earmuffs to effectively block out sound.