More likely to hear it, not to see it. That said it's not a given that you will hear it either. Can depend on a few things but mostly range between the firer and your position. I have heard them go overhead when they have not impacted nearby and that is a clear sound, pretty distinctive that its an RPG, but when they have been close hits I never really noticed the incoming sound.
I've never been on the receiving end of 40mm but can confirm that you see those outbound.