I think the scale and regularity of the sound are part of it. I also like the sound of the wind whistling through trees or rocks.
But there is more than that. The sound of big warning sirens is an icon of law and order. It takes an advanced civilization with good engineering skills to produce that sound. The sound represents infrastructure, and disaster preparation, a bulwark against the forces of chaos. It is designed for communication; it has a rational purpose. Any tribe of primitive savages can produce music, but only a well-organized modern civilization can produce the sound of a siren.
Of course, it is entirely possible that the sound was specifically designed to make people feel this way, in order to keep us calm in a disaster, and this post has been nothing more than a confabulation.