This is not true. The sound you hear is steam being released from the lobsters' shells (similar to when your tea kettle whistles when the water is boiling). This is not to say that the lobsters do not feel anything, though. It is believed that their twitching tails are a sign of pain. During a study at the University of Maine, researchers found that this period of twitching could be reduced by putting lobsters on ice for 15 minutes before the boiling process. Get the recipe for boiled lobsters here.