Hi @debraramer
It could be a sticking contact inside the headphone socket on the keyboard.
When you plug in a set of headphones it causes a contact inside the socket to operate and this sends a signal to the CPU on the control board to mute the audio to the speakers and to turn it on to the headphones. When you remove the headphones the contact releases causing audio to be restored to the speakers and to be cut off to the headphones.
Try inserting/removing the headphones a few times and check if that resolves the problem.
If no good then the keyboard will have to be opened and the headphone socket checked and possibly be replaced.