Illusions are great! They give us information as to how the brain normally organizes and interprets sensory stimulation. Our brain processes information which makes us perceive something different to what is actually there. You have probably seen an optical illusion before. There are some here or here and this is a great one I saw for the first time today.
But auditory illusions, now they are things you don’t hear everyday. Get out your headphones (seriously, it works way better with headphones) and have a listen to this: