There's no way around it, horn smells like horn and some people are more sensitive to it than others. It’s natural for horn to smell like, well... horn. Some more potent than others and some people like it while some wish it away quicker. Rugged horns will always have a stronger smell because the top layer is more prominent than fully polished horns, but there is hope in reducing the smell either way.
The smell does reduce naturally over time with use (though it never goes away 100%) but there are other things you can do to help it along.
Firstly try to wash it with luke warm water and a detergent. You can do this a few times which will help reduce the smell. If you still wish to go further, then you can try the next technique.
Rub lemon peel against the horn, leave it to sit for 24h then wash with slightly warm water and a mild detergent. Dry the horn immediately after washing. This process can also be repeated if needed.
Remember to rub olive oil or vegetable oil into the horn as above after doing so as the lemon acid and the detergent can dry out the horn leading to peeling or cracking over time. Rubbing oil into the horn help restore the shine and natural oils. Just rub a generous amount of oil into the horn then leave for a couple of minutes and wipe it all away using a cloth or paper towel.