The sound does appear to be a very large distance below where Prompto/the other Circle Members are. He can chase after/zoom after the noise, there will be little to be learned as yes, there are quite a few locked doors.

However, if he continues to follow/track the sound, he will find that the closest/clearest he senses the noise will be in one particular hallway. There are 10 locked doors in this hallway (if he decides to check), but there will be a distinct difference between how muffled the sound feels/seems to be in this one stretch of hallway than the others.