Treating the cosmological constant as a pressure, in the context of black hole thermodynamics, a thermodynamic volume for the black hole can be defined as being the thermodynamic variable conjugate to the pressure, in the sense of a Legendre transform. The thermodynamic volume is explicitly calculated, as the Legendre transform of the pressure in the enthalpy, for a rotating asymptotically anti-de Sitter Myers-Perry black hole in D spacetime dimensions. The volume obtained is shown to agree with previous calculations using the Smarr relation. The compressibility is calculated and shown to be non-negative and bounded. Taking the limit of zero cosmological constant, the compressibility of a rotating black hole in asymptotically flat space-times is determined and the corresponding speed of sound computed. The latter is bounded above and has an elegant expression purely in terms of the angular momenta, in the form of quartic and quadratic Casimirs of the rotation group, SO(D − 1).