Do you have speakers connected to your Line-Out by default? Where are you plugging in the headphones, is it the Audio-Out port on TV (If available) or the Line-Out port on PC (Front or Back panel)? Most likely the default playback device on your system (I assume it's Windows 10) is HDMI rather than Speakers.
Right click the speaker icon in system tray --> Open Sound Settings --> Click Sound Control panel on right top (Under Related settings) and you should see something similar to this dialog box.
Select the Speakers (most likely the Realtek Audio) as default audio device and check again if it works for you.
If the device appears disabled Right click on it and select Enable, similarly you can right click and select it as Default Device.
Note - If devices do not appear in this window, Right click on blank area inside this window and select 'Show Disabled Devices'.
Let us know if this works for you.