It may depend which Airport Express you have.
I'm fairly certain I used to be able to send to my old b/g Airport Express from AppleTV1 but may be wrong as I've not tried recently.
The old Express and AppleTV 1 used Airtunes protocol and I had assumed that Airplay was a superset of that and that Airtunes like functionality would still work over Airplay for audio. Video Airplay does not work with AppleTV 1 as far as I'm aware unless there's be a recent iOS change that somehow allows it on old AppleTV software.
A new or recent Airport Express probably uses the newer Airplay protocol for audio and may not be detected by the original AppleTV. I don't have one to test (new Express).
Apple have mucked up somewhere along the line with retaining backwards compatibility for some of the newer devices with older peripherals. My b/g Express isn't even detected by Airport Utility on OS X these days - I've had to install an old version of Airport Utility to use it.
AC