Ask HR. They make policy.
Do not ask them about this particular incident, but as you are new ask them to clarify what the office policy is on talking, making noise, listening to music (I presume via headphones) and so on.
You have not indicated a country so it's also hard to give advice that might not clash with a cultural norm.
As a general rule it's a good idea for everyone in an office or factory to make whatever effort they can to minimize noise. In some places (like a noisy plant and machinery setting) that's just not practical, but if you're in a place where you can listen to music then certainly it's just common sense not to make distracting noise that affects other people. Even in noisy settings adding more noise isn't good.
The incident you mention could have a hundred interpretations ranging from "was joking" through "a helpful warning" all the way up to "angry colleague under great stress" and ending in "arrogant madman". You are new and will have to pay attention to office politics and culture for a while before reading too much (or the wrong thing) into this incident.
That said, I'd tell you to keep the noise down too. Remember that other people may be e.g. on the phone to clients or bosses and don't want to give the impression to others that they work in a noisy, distracting or even too easy-going a setting. Learn to think a bit beyond the scope of your immediate setting - other people have wider concerns than you may about issues. This is not about any specific thing happening at a particular moment, it's about setting the tone of behavior expected from people in work in general.
Listening to music
Keep in mind that this was (and still is) considered a no-no in many places. Just because no one has complained is not the same as it being allowed. Also remember that managers may allow some staff on certain duties (and who have earned respect) to do things that they're not going to be as easy going about with newer staff. You may have to earn these things, even if that's not written down anywhere.
We are new there and we didn't want to start from being rude. How to react?
React as little as possible, although consider that the older colleague may have quite a different (and more experienced !) view of this than you. Again a cultural issue may be at play here as your post suggests a culture where age is a more significant issue than in many Western cultures.
Also remember that "quiet" talking may be extremely distracting. It's a work environment and you need to respect that you are there to work and other things are generally secondary to that. You have to consider other people's needs in creating a good work environment.