If your computer has more than one option to export audio, it may not use the option you want. You can change the settings by following these steps.
1- Open the Apple menu and click "System Preferences"
2- Click "Sound".
3- Click the "Output" tab.
Select your headphones from the list.
Make sure the checkbox next to the mute icon is unchecked. Also, make sure the checkbox next to "Show volume in menu bar" is checked.