The difference in what they're waves OF.

Light can get completely reflected of or absorbed by sufficiently thick stuff (how thick is "sufficient" depends) because it can be blocked by atoms from travelling.

Sound, on the other hand, is a mechanical wave. It's atoms moving around. So you need atoms to have sound, and anything made of atoms can transmit sound.

A wall is made of atoms. Atoms in a wall can block light. But atoms in a wall can transmit sound. Hell, solids are better at transmitting some sounds better than air, it's why the old-timey technique of putting your ear to the ground works, because the low rumbling of solid wheels or hoofbeats would travel through ground better than air.