They don’t.
Every note is made up of the fundamental frequency and several harmonics. The harmonics are higher and can be easily reproduced by the headphones. The fundamental is longer wavelength and often can not be reproduced by the headphones. But here’s the thing: your brain has a “correction circuit” in it. If your brain hears the harmonics but the fundamental is missing, your brain fills the fundamental in.
This can be demonstrated with oscilloscopes. https://youtu.be/0amvhGzeCnQ?t=99
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