If sound travels better through denser material, why does the sound travel better without a dense wall?
[Physics] Why doesn’t sound travel through walls
acoustics
Related Solutions
It's not so much that the bass frequencies go long distances as that the high frequencies get absorbed and don't.
Say that the dimensions of your room are 30 feet x 20 feet. Your room will be pretty good at scattering sound that has wavelength shorter (i.e. frequency higher) than $\lambda = 20$ feet. Since sound travels at around $c_s = 1000$ feet per second, this is frequency $f = 50\textrm{Hz}\;$: $$\lambda = c_s/f$$ $$ \textrm{20 feet = (1000 ft/sec) / (50 /sec)}$$ So you can expect that frequencies less than around 50Hz will escape your room better than the high frequencies.
When you see the sun go down the sky turns red because the red (low) frequencies get absorbed less than the blue (high). And as you'd guess, it's for the same reason. Except for things that are specially designed (or lucky), anything that absorbs a long wave length (low frequency) is big enough to also absorb the short wave lengths (high frequencies).
Of course, just as with colored glass, it's possible for matter to reverse the situation and have some low frequencies absorbed while the high frequencies penetrate. But it's not the way to bet.
Whether any form of wave can pass through an object depends on how strongly that wave is reflected, scattered or absorbed.
Sound waves are certainly reflected by a wall, otherwise you wouldn't hear an echo from it, but not all the sound is reflected so some travels into the wall. Whether the sound is scattered and/or absorbed in the wall depends on what the wall is made from. Remember that sound is a mechanical vibration. The sound hitting the wall makes the wall vibrate and the other side of the wall makes the air on the other side vibrate. A good solid wall won't disperse the vibrations too much, so you will get some sound through it. A wall filled with e.g. fibreglass insulation, will absorb the sound far more, so it will transmit less sound.
Light is also reflected by a wall, otherwise you wouldn't be able to see it. How much light is reflected depends on the wall: a white painted wall will reflect more of the light than a black painted one. However the dominant interaction with the wall is probably scattering. If the wall was made of glass then obviously the light would pass through it. A concrete wall is made from miniscule grains of calcium carbonate and aluminosilicates, and while these materials are transparent to visible light, reflections from all those grain boundaries scatter light strongly. If a concrete wall was very thin e.g. 0.1 mm you would still get some light transmission through it.
Response to Zeynel's comment:
Consider a microphone. Sound waves consist of to and fro oscillations of air molecules, and if you sit at a fixed point in space these to and fro oscillations create oscillating pressure changes. A microphone works because when the pressure is high is pushes the sensor in the microphone back, and when the pressure is low it pulls it forward. The end result is to make the sensor in the microphone oscillate in time with the wave, and in the microphone this movement is used to create an oscillating electric field.
A microphone is designed to be very sensitive to changes in air pressure, and a wall is not. Nevertheless, even a solid wall is elastic in the sense that it deforms when you push on it. So a wall will also move in response to the oscillating pressure created by a sound wave. It will move much, much less than a microphone sensor, but it will move. If the side of the wall facing the sound wave oscillates then obviously the of the wall will oscillate as well. This behaves like a loudspeaker, i.e. the opposite of a microphone, as the oscillating surface of the wall creates an oscillating pressure in the air next to it, and this creates a sound wave. That's how the sound gets through the wall.
Re your last comment "if we said some of the sound waves passes through the wall": you need to remember that a sound wave is not a thing. It's just the movement of something else. In air a sound wave is a movement of the atoms in air, and in a wall a sound wave is the movement of the atoms in the wall. It's true to say that the sound wave passes through the wall, but it's the vibration that moves through the wall not anything you could point to. In this respect sound is completely different to light, where in principle you could follow a photon as it moves between different media.
Best Answer
The problem is acoustic impedance matching at the interface between the air and the wall. There an analogue of Fresnel's equations dictates how much power goes into the reflected and transmitted waves, and not surprisingly the more dissimilar the materials are the more power goes into the reflected wave. You can evade this by putting the speaker directly on the wall, effectively changing the problem so that the impedance matching is now between the source and the wall.
For a slightly surprising take on acoustic impedance, see this WP article.