This is a great question and not to hijack your thread but in general headphones are notorious for creating a situation in which our guards are let down.
I lived in Brooklyn, NY for about 5 years and what I learnt from there was that situation awareness is almost important than being armed and oblivious. I have seen many women on the jug with headphones and totally oblivious to their surrounding. The element of surprise is the first step of any potential assault.
To answer your question, I have used headphones in the house so the wife can enjoy her beautiful sleep but I have always kept it low enough to hear any unwanted visitors .