I plug my headphones into my ZTE Maven, and the audio still comes out of my phone. It even shows the headphone icon at the top of my screen. I decided to make sure it wasn't my headphones, so I plugged them into my Xbox, and they worked perfectly.
Maybe they are incompatible. While playing a song, try to twist the jack a bit or pull it slowly 'til it works perfectly. I had similar experiences with previous phones and have done the same.