Don't know the technical reasons, but on my Pilot ANR headset, when activated it cuts out all the low droning frequencies.
These pilot ones have a circuit to boost the higher frequencies too (such as those that speech occur at).
I've got a feeling that the high frequency sounds occur too rapidly for ANR to cope with, hence high frequency filtering is obtained by the ear-cups themselves, low-frequencies by the ANR.
To this end, I invested in some silicon ear seals which form a better fit to my bonce than the standard foam ones.
It also had nothing to with the fact that it feels like a pair of silicon implants either side of your head ;-)
RH