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If you omit all the technical details, then as the singer Bjork said: “You need to listen to music not with your ears, but with your chest, stomach, and intestines!”. That is, to feel with the body, and not just receive information directly into the ears.
From the point of view of perception, the main differences are that when listening with headphones, there is no room reverb and interaction between sounds from the left and right channels. You can also notice that a small distance between the sound source and the eardrum leads to the appearance of a comb filter at high frequencies, this depends on the design of the headphones, and in closed-type headphones it is more pronounced.
Most sound engineers believe that you can't mix music with headphones on, but only on monitors (specially designed speakers with a fairly even frequency response). If you play it in headphones, then later on speakers or monitors you can find problems with the balance of instruments and stereo panorama, while at the same time, if you play it on monitors, then everything sounds quite decent in headphones. There is such a thing as mono compatibility, which occurs when the left and right channels are added together, when playing signals that are out of phase in the left and right channels, or with some kind of phase shift-this situation will be perceived differently on speakers and headphones. Although there are also fans of making music specifically only for listening with headphones, in this case there are opportunities for some of their own stereo chips. I have seen experiments with sounds, in which people using sounds of different frequencies in different ears tried to influence the occurrence of alpha and beta rhythms in the brain, of course, this is possible only when using headphones.
In general, listening to music on speakers is perceived as more natural, but headphones also have their advantages: due to the lack of reverb, you can notice some small details or isolate yourself from the surrounding space.
There is a difference in terms of perception and psychology of others and your safety. When you listen to music with headphones on, people don't want to kill you or even “teach you good manners.”