I think its a combination of maths and culture.
The maths bit is how the frequency spectrum is split up, and how the frequencies of notes relate to each other. In Western music the note A4 is tuned to 440Hz. If we double that to 880Hz we get an A5 ( the same note an octave higher; if we half it we get an A3, so an octave lower. Notes which have a simple mathematical relationship (so 2:1, 3:2 for instance) to each other tend to sound good played together.
The culture bit comes in when you consider that modern music theory is largely based on western classical music. Other cultures/traditions may split the frequency spectrum up differently (Indian classical music, or Indonesian gamelan for instance) and can sound dissonant to ears brought up on different music traditions.
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