It totally depends on what you're listening to. A couple of my absolutely favorite bands are my favorite bands precisely because their shows are some of the most fun you can have with your clothes on. That said, they can't seem to lay down a decent track to save thier lives -- so listening to it at home is not just bad, it's a complete waste of time.
Most amplified music, when played live, is amplified through crappy stuff, with crappy acoustics and sounds exactly like you'd expect it to sound under the circumstances. Get ahold of the studio tracks, or even well recorded live tracks where they take the time to do a better job because they know it's being recorded, and play it through the old hi-fi it will likely sound a lot better than your average stage show. If this is what you listen to and why you listen, yea, home will sound better -- of course it will. (Which doesn't necessarily have the slightest thing to do with which is more fun or engaging, which is another story and could go either way depending on a whole host of things including, among other things, whether you actually have your clothes on, which is easier to accomodate at home and, like I said, a whole different story...).
The real trick, as noted repeatedly, is the unamplified stuff. From a good seat in a good house, an orchestra sounds like an orchestra in countless ways speakers never will. That said, a good seat, a good house, plus a good orchestra is not always the easiest combination to come by, so it's easy to imagine how, on a whole, folks could get consistently better results and sound at home (but don't give up on the live stuff yet, if done right it's where it's at).
The real test, as far as I am concerned, is to have a couple of professional musicians over, preferably folks from whom you actually have some of their recordings, get them to bring their instruments (trumpet, sax, guitar, violin, great if you've got a piano, whatever), ply them with wine (always appreciated) and see if you're even tempted to turn on the stereo. (Hint: you won't be. Trust me.)