On Earth, we have a very comfortable atmosphere that makes life possible, but one other thing our atmosphere does for us is provide a medium for sound waves to travel. Indeed, our very own air can carry sound waves so we can hear the things around us.
While sound waves can't travel in the vacuum of outer space, that's not to say that we can't hear things on other planets. There is definitely an interest in knowing just how sound might behave on other planets however, as the atmospheric conditions on each planet is different.
One such example is Venus, which has an incredibly dense atmosphere that puts Earth's to shame. While Venus is inhabitable, as anyone who tried to step foot on the planet's surface would end up being crushed to death from the intense pressures, the question about whether or not sound could travel in the dense air on Venus continues to rattle scientists' minds.
Experts seem to agree that the ultra-dense atmosphere might carry sound waves in a similar fashion to what you would experience while trying to talk under water. Of course, air is still lighter than water, so it might sound a little bit less muffled than being underwater, but it should be far more muffled than sound here on Earth; a happy median between the two.
As every planet has different circumstances, there is surely interest in learning for sure what sound might behave like on other planets. Fortunately, the Mars 2020 rover will come with its own microphone, so we can at least learn how sound might behave on the red planet.
Perhaps in a few more decades, when we actually visit another planet, we will have a chance to find out for sure.