Or, if your bike is post 1980 and has the US- Pulse-air system (metal tubes conencting from airbox to just under the exhaust ports on the head, you might be feeling pulses of air/exhaust out of them if the compression bolt on the head end of the pipe isn't tightened sufficiently.
It may also be that the compression ring/sealing ring that goes round the header pipe (it fits inside/under the big finned exhaust nut and should be compressed/squeezed as the nut is tightened to help seal things up) could be put on backwards, which would cause it to not compress/seal effectively. In any case, if those big finned exhaust nuts do not EASILY come off - IMMEDIATELY stop trying to turn them, get a hacksaw or rotary cutting tool and carefully cut across it between the fins - go slowly and carefully so that when you get down near the threads of the exhaust port on the head you STOP! Then use a cold chisel or pry bar to break the nut apart. I usually make a cut on the top side and underside as best I can to facilitate splitting the nut (only done it once myself, though).
If you force the exhaust nuts off and the threads have seized, you'll basically strip the alloy threads off the cylinder head with the buggered up exhaust nut and then you'll be looking at ~ $200 repair job to have a machine shop weld it up and cut new threads, per head. Or alternatively, there are some specialized clamps made in Germany, but I suspect they'll set you back at $200 as well.. IT is a YEARLY ritual to unscrew the threads (once you know they are OK), clean them and put on fresh anti-seize to keep these 'healthy'.
