"Different" doesn't always mean worse. Most of the time, the music I hear in headphones sounds just as good, if not better than through speakers.

But if you just mean 'different' like technically different, then it's probably the same reason that your voice always sounds different when you talk than it does when you hear it back through speakers; because when you speak (and possibly when you have on headphones), the bones in your skull vibrate because of their close proximity to the origin of the sound. So when you hear that same type of sound from a distance, it doesn't sound quite the same.