I can't really explain it in detail, but sound is just a vibration in the air. The air molecules are bouncing back and forth from the audio source outwards. The higher the pitch of a sound, the quicker the vibration. When sounds passes through something, it means that it makes that thing virbrate which in turn makes the air on the other side vibrate as well.
If you think about walls, they are rather stiff. Because of their stiffness it's hard to make them vibrate at all, but especially hard to make them vibrate quickly. Because of this, high pitched sounds are blocked while lower pitched sounds pass more easily.
This works especially well when the sound resonates with the wall. In that case the sound waves hit the wall just right to amplify their vibration, like pushing a kid on a swing at the right time when it swings back to you.
A bit off topic: The freqency where this happens is tied to the properties of an object, respectively it's materials, and resonance can even destroy them in extreme cases. This is why vibrations have to be carefully considered in engineering. There is a famous video of a bridge collapsing, because resonance wasn't properly considered.
My best eli5: Lower frequencies easily propagate through building floors and walls. Higher frequencies decay sooner and are more easily weakened and adsorbed by walls.
Scatter/dissipation (or a lack of it I suppose) and resonance
If the wavelength is smaller than the particle it will scatter, if the wavelength is larger than the particle it will travel through. Bass waves are larger so they are not scattered apart as easily by small gypsum particles in your walls (assuming typical USA modern drywall construction) and will typically travel through
In addition to this your indoor walls, like all things, have what are called resonant frequencies. These frequencies are lower because the walls are large. These trigger resonance in the walls which makes the sound louder
The frequency of acoustic resonances/standing waves are more of a function of distances between reflective surfaces rather than their size.
It probably makes more sense to talk about particle size with EMF since wavelengths of visible light are in the nanometer range while wavelengths of audible sound will be measured in cm at high frequencies and m at low frequencies.
The amount of sound that is converted to heat has a lot to do with material properties like hardness and surface texture. Something that is an effective insulator of heat will also typically be an effective insulator or sound, hence why you see double-paned glass with an air gap used for both applications.
Part of it is the amount of energy in low frequencies as loud as the corresponding high frequency. Subwoofers use more energy to move larger volumes of air and produce low frequencies. The low frequencies are also harder to absorb and travel better around corners.
There's also the fact that some people make the bass much louder than the rest of their system. It starts out sounding muddy as hell and gets worse.