It's in the recording, not the headphones. I hear it on every piece of equipment I've listened to it on, and all of the equipment I've kept had to pass the test of the cannons on the Telarc Kunzel recording of the 1812 Overture (on the right equipment, that's some serious thunder!) so I know it's not a clipping issue.
I like a lot of Imagine Dragons' songs, but I generally find the recording quality to be mediocre. It's a great example of the downside of good equipment - you hear the flaws more clearly.