Here's why:
* Intransitive verbs do not take a direct object. They express an action or state of being without acting upon something else.
* Transitive verbs require a direct object, the thing that receives the action of the verb.
In the sentence, "sounds" describes the state of being of the CD player, but it doesn't act upon anything. The phrase "too loud" is an adjective phrase describing the sound, not a direct object.