upd. No one really knows. Purring is a mystery.
upd. 2 На самом деле, они мурлыкают вот так:
...purring is actually caused by rapid vibrations in the muscles of the larynx and the diaphragm working in harmony.
The vibrations in each of these muscles take their turn, one waiting for its partner to finish before it starts. This alternating vibration recurs about 30 times every second. These vibrations cause air turbulence, which is the sound that is heard, but in addition, the actual muscle vibrations in the larynx and the diaphragm can also be felt in the cat’s neck and its chest respectively.