Traditional neurobiological theories of musical emotions explain well why extreme music such as punk, hardcore or metal, whose vocal and instrumental characteristics share much similarity with acoustic threat signals, should evoke unpleasant feelings for a large proportion of listeners. Why it doesn't for metal music fans, however, remains a theoretical challenge: metal fans may differ from non-fans in how they process acoustic threat signals at the sub-cortical level, showing deactivated or reconditioned responses that differ from controls. Alternatively, it is also possible that appreciation for metal depends on the inhibition by cortical circuits of a normal low-order response to auditory threat. In a series of three experiments, we show here that, at a sensory level, metal fans actually react equally negatively, equally fast and even more accurately to cues of auditory threat in vocal and instrumental contexts than non-fans. Conversely, cognitive load somewhat appears to reduce fans' appreciation of metal to the level reported by non-fans. Taken together, these results are not compatible with the idea that extreme music lovers do so because of a different low-level response to threat, but rather, highlight a critical contribution of higher-order cognition to the aesthetic experience. These results are discussed in the light of recent higher-order theories of emotional consciousness, which we argue should be generalized to the emotional experience of music across musical genres.