Sound waves travel through all sorts of things, really, almost everything. Your ear drum is SUPER sensitive. So if you put your fingers in your ears, or ear plugs, or whatever, some sound waves are still making it to your ear drums. Also, they can pass other ways too beyond just your ear canal. They can travel through your mouth and even through your neck and head.
If you were to take something that vibrated, for example, and put it up against your head or neck or a tooth in your mouth (like an electric toothbrush) you would hear all those things regardless of having your ears plugged.
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