Official comment
There are several reasons this can happen:
1) The audio driver is not configured properly -> Ensure that you have selected the DDJ-RX (or DDJ-RX ASIO on PC) as the Audio device, and the Output channels are set for MASTER and HEADPHONE outputs.
2) The levels are not turned up -> Check that your channel TRIM knobs are adjusted so each channel meter with audio playing shows signal on the LEDs. With the channel fader up and the cross fader open, check that the MASTER level knob is also up so signal shows on the master meter LEDs.
3) Check your output device / cabling -> Did you connect the output wiring to the MASTER connection or to an input by mistake? Are your speakers on and the volume turned up?
4) Get sound to your headphones -> Make sure the MIX knob is set to the middle between CUE and MASTER and that the level is up just a bit (not too loud at first!), then press one of the mix CUE buttons on a channel with audio playing.
If you're still having problems, let us know.