At first thought, and without sufficient information, the first question is, "is the volume low on both the headphones AND the speaker?".
If so, then your detector internal audio output would be hurting. This means that somewhere along the line there would be a voltage drop, or a bad connection. And that can be caused by a dirty connection (as Sandman indicates), or an internal power supply fluxuation. WD-40 is mostly water, so putting a drop inside on the contact points will not hurt anything at all, and it REALLY cleans things too. The spray that Sandman speaks of is mostly compresssed air with a shmidgeon of solvent in it, and is commonly used for those occasions, but WD-40 works better and a little bit of it (one drop from an eyedropper, but not more) will not created a problem with electron flow or resistance, nor will it deteriorate any synthetic parts if used sparingly. Just wipe off the excess from the drop of liquid, and the rest will dissapate over time and not hurt a thing even if it does not cure the problem.. DO NOT SPRAY IT THOUGH! Put some in a small cap and use the eyedropper.
On the other hand, if the speaker does better than the headphones, then you may have a loosened female receiver (where it plugs in to the detector). OR, you could have a loosened male plug too. OR, you could have a speaker connection inside the headphones loose from abuse or misuse somewhere along the line..
Now there is more to consider; If someone was too brutal plugging something into the headphone jack, or unplugging it, that alone can cause the exact problem you are having, because rough treatment loosens and weakens everything. Those jacks are not as tough as they need to be. MY CZ70 is as loud as a freight train, and I wouldn't need headphones even if a Sherman tank was rolling by, and I have ear damage in my left ear.
From your statement, it appears that the problem is inside the detector, and not the jack nor the headphones either. You had audio problems (before) the new headphones, even before you plugged them in. It narrows it down to an internal detector problem, so it should go back to the MFG. If it were me I would fix it mysef, but a novice should not fool with something like that, it could leave you ready to use a hammer on it and out a whole lot of $$.
PS: DO NOT use WD-40 on house current, high voltage, high wattage, high amp, or anything that can be used as or is designed to heat itself, or anything else. The same thing is true about Rad Shacks spray cleaner(s), both types.
LL