Importance of Wearing Headphones
Wearing headphones is important because it allows you to listen to shots, steps, gun reloading, gun picking, kicks and more; moreover, it helps you locate the direction where this sounds come from. Listening is very crucial in this game, sounds will prevent you from getting hit and will help you decide how to move.
Remember that ping plays an important role in gameplay including sounds, so the highger your ping (latency) the later you listen to events.
For more about sounds in CoJ multiplayer post your question as a "reply" here. Or simply corroborate this by telling your own experience.