Why do dogs hate thunder and lightning?

I have a border collie mix that I’ve had for about 9 years. He’s a smart pup so I’m pretty sure he knows the thunder and lightning can’t hurt him. Anyways we had a particularly bad storm a couple months back. It scared him so bad he jumped up on my bed with me(which was off limits at the time)and was shivering with fear. Is there a particular reason why dogs are afraid of thunder and lightning?

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