I don't know the science behind it, but I think it is well known how much more sensitive dog's ears are than ours. It's bad enough when we play without hearing protection, try to imagine that amplified as much for a dog.
My dog doesn't mind it, he'll just lay down in another room, but I make sure to close the door of the room I'm in and would never play anywhere near full volume with him close. Long or short term effects on top of how loud it may be while playing. Just my 2 cents
My drums are outside in the brick shed - but I've been doing some building work in there making it a little more sound friendly etc so I've had to ferry my drums between the shed and the house the last 2 weeks, as soon as my dog see's my floor tom or bass drum really really cowers, I've never seen him so scared, but he's OK with everything else.
I have a Lurcher - Saluki and Greyhound cross called Lars (I named him after Mr Ulrich)
He's partial to a bit of drummer magazine and a cuppa tea though!