Sound in film is classified as diegetic (existing in the world of the story) or non-diegetic (existing only for the audience).
A character listening to music on headphones: diegetic. The orchestral score we hear during the same scene: non-diegetic. These categories can be blurred deliberately: a character hears "non-diegetic" music and looks around for its source.
The diegetic/non-diegetic distinction matters because it determines what the character can hear. This structures dramatic irony: the audience knows things (through non-diegetic sound) that characters don't.