My observation is that the animals do not know where it comes from. I've seen animals, at a shot, stand and look different directions, mill about, run in one direction for a bit and the turn and run another, etc... As suggested above, with terrain, the sound is traveling all over the place. They seem to know the shot is not a good thing and I've noticed if the shot is not really close that they fairly ignore it, suggesting they may have an idea of the differences and value of danger or safety based on how loud the shot is.