While empirical studies on joint music-making have shed light on many aspects of ensemble performance in the past few decades, the role of auditory attention in such a context has remained strikingly understudied. We draw here on a self-annotation methodology to investigate musicians’ listening behaviors in freely improvised performances. Six trios of professional musicians were asked to freely improvise in a recording studio, hearing each other only through headphones. While they were playing, the loudness of each musician as sent to the other two musicians’ headphones was covertly increased/decreased during random periods of time in order to enhance its relative saliency within the musical scene. Immediately after each improvisation, musicians were asked to listen to the improvisation that they had just performed and to continuously indicate, using a specific application, where their listening focus was as they were performing. The results demonstrated that during periods of loudness manipulation, musicians’ attention was significantly drawn to the musician who had been made more salient. Two follow-up studies then investigated the extent to which joint auditory attention correlated with perceived togetherness, as well as whether improvisers’ auditory attention during the performance aligned with that of external listeners attending to the recording of the performance. Taken together, our results suggest that, beyond the effects of saliency, musicians also tend to strategically adapt their listening behavior to the specificities of the interactional context and that musicians’ collective listening behaviors have an impact on the performance, both at an acoustic level and at a perceptual level. By relying on attentional patterns that dynamically emerged from complex, ecological musical interactions, our studies provide a first attempt at assessing the effects of auditory attention on coordination and contribute to establishing sonic interactions as a promising setting for the study of the effects of joint attention.