That is so funny you say that, my brother has two labs that do the exact same thing. They go bananas when he takes the guns out of the cabinet. Last year, we went skeet shooting and came back to his place reeking of gun powder. The pups looked liked they were just told there was no Santa Clause - deeply dejected and even pouted.
We were cleaning out the garage when a thunderstorm blew up. Dogs were sitting watching the rain when there was a big bolt of lightning and a tremendous clap of thunder. My older Choc charged out into the rain and started looking everywhere "That was a BIG bang - must be a BIG duck! Where is it?" and of course the little Black followed her out to help look.