Use the headphones and live life on the edge.
+1, being aware of our surroundings and what is or is not happening around us is truly our first line of defense. That being said, IMO this can be taken to the extreme, and this may be a case of that. If anyone is so worried about their safety at home when using headphones they should strongly consider moving or giving up headphones all together.
As an aside, I always thought that there were better things to do in bed than watch gun videos when you have your partner with you.