First of all - how did you linkedthe CDJ's to your Laptop? Did you used USB or Pro DJ LInk?
In case of Pro DJ Link it depends where you CDJ's are connected to - hopefully to the mixer. Everything what Plays via the CDJ is comming out of the set up connected.
When connecting to the CDJ's via USB you have to install the Audio Driver for the respective CDJ on the Laptop - than you can select the Audio Interface of the CDJ to get the Sound via the CDJ.
In Addition - are you using rekordbox in Export or Performance mode?
You Need to explain a bit more the set up you are in.