There was a microphone on Phoenix too, but it was turned off - the idea was that it would capture sounds during the landing but then they found that there was a minute risk of this interfering with the landing sequence - just the scheduling of the commands - so they left it off. No descent images or sounds from Phoenix

Then they had an option to turn it on again once on the surface. 

"Does Phoenix have a microphone to “hear” the sounds of Mars?

"Phoenix, like the 1999 Polar Lander, originally had a microphone to hear the sounds of the descent to Mars. It was part of the MARDI system which was turned off to due the small risk that it could trip a critical landing system. So far, no spacecraft has successfully captured the sounds of Mars. However, the European Space Agency’s orbiter Mars Express captured the sounds of Phoenix’s descent. You can check it out at: Listen to Phoenix descend. If the mission timeline permits, it is a possibility that the microphone will be activated , so stay tuned! "
Phoenix Mars Mission - Mission - FAQ

But I don't know if they did or not. My guess is not otherwise surely it would be possible to find the recording of what it heard?

Anyone know?

More about history of microphones on Mars:

Carl Sagan’s Dream of a Martian Microphone May Finally Be Real