None of mine do, but one of my mom's cats, oddly, won't stay inside during a storm. Any time there's thunder she'll start screaming and jumping at the door until someone lets her out. We joke that she doesn't trust us dumb humans to know how to survive a storm. And after the storm is gone, she comes back and she's not wet, so she must have a special place she goes, but nobody knows where that is. She's a weird one.