I don’t use headphones myself, but I imagine it must be nice to be able to dream away and be in some other state of mind, from boring cold and grey winter times.
It's easy to forget that cats are actually little ghouls...they want to hunt and kill stuff almost as much as they want to cuddle up with you when it's cold (yes, they are also heat vampires). But they are also complex and amazing little fur-suited people.