Ganyu horns are sensitive because its a kirin horns. Kirin are said to be sensitive to air pressure, and "know" things, like when storms and rain come. (at least in text where kirin are mounts to the wind-gods)
The same way some magical creature horns are sensitive to pressure, heat, air flow, and so on.
We don't exactly know what yanfei creature side is. Believed to be a creature of justice, so yes, her horns being sensible isn't so out there, if she's based on the creature that felt the truth and tried to gore the guilty. (don't remember its name, too lazy to do the research. An official was said to keep one near him."