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This is likely due to the fact that you are using headphones with a built-in microphone, such as the ones that come with an iPhone. Those types of headphones are not compatible with most DJ equipment as they have a different type of connection, as you can see in the image below.

The left connection is found on regular stereo headphones.
The right connection is found on Apple earbuds, as well as other headphones that also have a microphone.