I listen to music with headphones on. It's usually through my computer or a music player. Sometimes, though, I will either have music running while I'm doing chores or I'll listen to the radio while I'm driving. That's when I realize that the music sounds significantly different.
With headphones, I hear everything. There are a lot of little sounds, effects, tracks in a song that work with the others to make it what it is. Through speakers, the finer ones disappear. The other sounds usually drown it out.
Not surprisingly, I prefer listening to music through headphones. However, I have found that not all music is headphone music. Sometimes a song will alternate quickly between right side and left side or have one some sounds go only through the right and other sounds only through the left. Those kinds of things are fine through speakers, but through headphones, they give me a headache.
I have found that writing works in a similar way. Some set-ups work better than others. A good, spooky story is amazing at night with all the curtains drawn and a dim light. A dry, factual book works better in the middle of the day while I'm waiting (like being a passenger or on a lunch break).
It's nothing that you can really help as a writer. It's up to readers to determine how and in what ways they read your work. However, much as you may imagine who your readers will be, you could also imagine how they will read it. With that in mind, write in a way that will work well with the setting your work will be read in.