I managed Niles tech support during the 90's when speaker selectors were more widely used than they are today with the advent of wireless music system. Thumping sounds from a selector with volume controls or thumping from a volume control installed in the wall was one of the more frequent inquires by dealers and end users.

The proper remedy is the same in both instances, you need to turn the connected amplifiers volume down. The autoformers in the individual volume controls are what are make the thumping sound and it is as Buzz states, you are hearing the louder bass frequencies overload the laminated coils in the autoformer.

Also, in most cases, if a volume controls autoformer is thumping, the speakers will play too loudly when that individual volume control is turned all the way up. So lowering the amplifier volume not only solves the thumping problem, it also provides more resolution in the volume settings (e.g. the lowest setting can now play at a lower level and the highest setting plays no louder than ever needed).