The arts are often viewed as being in some sense “liberal”. This could mean many different things. Art might make people more liberal. Liberals might be more likely to make art. Liberals might be more likely to appreciate art.
I don’t know enough about music to comment, but I have noticed that liberals are more likely to appreciate the visual arts. Here’s Psychology Today:
We already know from prior studies that conservatives prefer simple representational art over abstract art, traditional poetry over the avant-garde, and music that is simple, familiar, and ‘safe’.
I am not going to argue that abstract art is better than representational art—indeed most of the very best paintings are representational. Instead I’ll argue that the appreciation of abstract art is usually associated with a stronger attraction to art in general.
Consider a random sample of people that go to a museum show of abstract art, say a Klee or Kandinsky exhibit. Those people are also much more interested in representational art than the average person. They’d be far more likely to attend a representational art museum show (say Monet or Caravaggio), as compared to a random person that did not like abstract art. Abstract art is difficult, and a strong interest in abstract art is usually associated with an intense interest in the visual arts in general.
Again, I’m not arguing that abstract art is better (I like it a bit less, on average). Rather my claim is that liberals tend to have a stronger preference for the visual arts in general. I have no idea why.
I think it's a matter of cultural rank. People of the left are more likely to hold Rank 3 and even Rank 4 cultural values than those on the right. See the chapter, "Politics, Cognition, and Personality" in David Hays, The Evolution of Technology through Four Cognitive Ranks. An explicit argument is needed to get from the material in that chapter to the point I am suggesting in this post, but I don't have time to make that argument. You can find ideas suitable for such argument in the paper Hays and I wrote together, The Evolution of Cognition, and papers we wrote separately, Hays on The Evolution of Expressive Culture and me on The Evolution of Narrative and the Self. There may be material as well in some of my many posts on cultural rank.
