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When you play sound out of monitors/speakers, the sound waves are big and have to travel to get to your ears. They bounce off of walls, floors, furniture, even you; they echo and mix with each other and their reflections. They warp and change subtly in frequency and amplitude. By the time you actually hear anything, you're hearing a lot more than the sound that came out of one speaker at one exact instant in time.
Wearing headphones, you get none of this. Everything sounds perfectly isolated and clear. Great for listening, but not so great for producing. "Cleaning up" a mix so it sounds clear and crisp and still "warm" in the non-isolated environment above is hard work, and when you mix with headphones you get a false impression that the work is already done, or doesn't need to be done.
And as others have mentioned, specific headphones will also have specific artifacts such as an uneven bass spectrum and no sub-bass at all (since you tend to "feel" those frequencies more than "hear" them), which also factor in to the quality of your mix (or lack thereof).
Simply put, if a mix sounds good on higher-end monitors then it is likely to sound good on most headphones too. However, the reverse is not true at all - if a mix sounds good on cans, it is anyone's guess what it will sound like on an actual sound system. The mix may even have serious problems like phase cancellation and you wouldn't know it.
It's good to A/B on your cans once in a while, make sure that your monitors aren't hiding anything from you, but mixing exclusively on them is just not a good idea.
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My party schedule:
2009-02-21 - DJ Attention @ I'm So Popular
2009-06-18 - DJ Annoying @ People Need To Know Where I'll Be
2012-11-32 - DJ Insufferable ɸ Or At Least the Stalkers I Complain About
2048-06-66 - Spastic & Whocares ¶ Although I'm Actually Flattered
9999-45-81 - Tweaker Gimp ☼ I Probably Won't Even Go To This But I Have To Make Sure I Fill Up All The Available Space Here
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