Hearing loss occurs at much lower levels than the threshold of pain. Single exposure hearing damage happens at roughly 110dB medium exposure at 100dB and long term exposure around 80dB.
And, perhaps they don't like the music.
Why do many musicians wear earplugs during their performances even though the intensity of the sounds produced is lower than the threshold of pain?
2 answers
Prolonged exposure to sounds of intensities lower than the threshold of pain can also damage the ear. This is more dangerous since there is no pain to warn the victims about the ear damage and they can end up damaging their ears unknowingly through prolonged exposure to such sound levels. Therefore some musicians wear ear plugs during their performances to protect their ears.