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For those of us of the Catholic persuasion, we also have the example of St. Francis of Assisi who is said to have spent ample amounts of time preaching to the animals.

It occurs to me that this most humble, pious of men, blessed with the stigmata and founder of a religious order that has lasted 800 years, would have wasted much of his time preaching to the animals were there not some purpose behind it.

Many Catholic churches still offer the Blessing of the Pets on St. Francis' Feast Day, October 4.

The Orthodox Monks of New Skete, who's Monastery is largely supported by the German Shepherds they breed, raise and train have also considered the question, and leave the answer in the heart and mind of the believer:

"Do the bonds of relationship extend beyond this life?
We have no proof, one way or another. But there is a depth
to our experience that awakens faith, faith that in the mysterious
character of life ultimately nothing of real value will ever be lost.
OUR CLOSEST RELATIONSHIPS,
BOTH WITH HUMANS AND WITH DOGS,
SOMEHOW POINT BEYOND THEMSELVES,
LEADING US TO HOPE THAT THERE IS INDEED
SOMETHING OF THE ETERNAL PRESENT IN THEM.

I imagine it's a continuum for all creatures. A human and an earthworm are both created beings, intended from eternity, and formed with the supreme force of God's love. But the human has a greater soul and can come into a more developed and elevated communion with God than the earthworm can. As some humans are more devoted to the Lord on earth, so they will be closer to Him in the afterlife. And thus it must be with animals, with some more capable of joy and love and understanding than others.

CS Lewis remarked in a few different places that dogs and cats pick up a certain amount of humanity from associating with us, and the best of them pick up a lot from being in a good human family. In Screwtape he has the demons noting angrily that everyone who associates with a certain Christian household acquires the "stink" of holiness after awhile. It's not difficult to suppose that those humans who are faith-filled can somehow spread their reflected holiness to the animals they love. As the unbelieving husband is sanctified by the believing wife, per Paul (1 Cor 7) might not our animals be imbued with our love so that they can enjoy eternity with us?