If our previous cat heard a wolf howl on television, she would jump up into DH's armchair, if she wasn't already there, and try to hide behind him.
At that time we lived in Copenhagen, where there are only wolves in the zoo.
Now we live in the south of Jutland, near the border to Germany and wolves have started moving up into Denmark for the first time since the late 1700s.
There are days where our present cat refuses to go out, uses his litter box instead of the garden and will very, very reluctantly follow me, if I go out to the bin. If I try to stay outside he will do absolutely everything he can think of to get me to go back into the house.
On various occasions where he has behaved like this, we have read a week or so later that a wolf had again been seen in the area.
We don't see or hear them, but presumably the cat smells them.