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have you blown any dust out that may be in the headphone jack? also check that any other headphones aren't working with it? also check the make of headphone actually works with other devices too. if that doesn't work, then you can check via Nokia Suite on your PC if there are any firmware updates available for your device, and if there are any, to update to the latest version offered.
failing that, you can try re-installing your current firmware thru Nokia Suite, and bar that, try Restoring your phone to factory settings. failing the above, you will need to take your phone to Nokia Care for inspection: http://nokia.com/support