Louder music does indeed sound better to your ears. It has to do with the way your hearing perceives music. Specifically, the sound signature (or equalization) of the sounds that you hear. At lower levels, mids and high-mids are very audible, but they are not usually as distinct or detailed. But the lows and higher highs are almost completely imperceptible. This is one reason the "smile EQ" is so popular, as it boosts the lows and the highest of highs to more pronounced levels, while keeping the mids where they are, or even lowering them.
The best stereos are known as "flat" or "neutral", because they remove exaggerated effects from the sound, giving you a more pristine volume at each frequency. But some people do not like a neutral sound signature, as they prefer warmth or "coloration" to their music which is perceived by some as more pleasant or fun to listen to.