This study examined how three auditory lectures delivered at different speeds -- normal (1.0x), fast (1.5x) and very fast (3.0x) speeds -- affected the graduate students' attention, cognitive load, and learning that were assessed by pre- and post-comprehension tests, cognitive-load questionnaire, and Electroencephalography (EEG) device. The results showed that there was no significant difference in the students' attention, cognitive load, and learning performance between the normal (1.0x) and 1.5x speed. However, when the auditory lecture speed reached three times of its original speed (3.0x), the students' comprehension scores were significantly lower both in the immediate and (one-week) delayed recall tests, than those in the other two speed conditions. When listening to the lecture at the 3.0x speed, the learners had a higher level of attention and cognitive load. The study provided insights for teaching, instructional design, and learning.