I was thinking the sound was made from a dimensional interference of some sort too. To pass through a solid it would make sense that the being would have to change its physical make up to pass through something, maybe by speeding up its molecular structure, idk if that would make a noise, but maybe as it passed through. The entire event is strange because it hits on so many topics. It involves an unknow and somewhat invisible entity that moves outside the parameters of our physical world, and that process may evolve manipulating time and space. You have hit all the big mysteries we discuss here. Do you remember if you heard the same noise as it left? in other words, you heard the thud prior to finding the objects moved, did you hear it again as it could have been moving out?