The answer given above that emphasizes the importance of the near field is incorrect. The reasoning there is a blind application of acoustic theory without basic physical understanding of the particular case at hand.
That answer can be disproven simply by first mounting the headphones and listening to music with bass tones, and then slightly cracking the seal between the headphones and the side of your head. The bass tones immediately reduce in volume, even though you haven't much altered the distance between your ear and the speaker (near field). This result illustrates that a correct explanation must include the fact of the sealed volume of air contained between the headphones and your eardrum.
A better answer is that the low frequencies are able to periodically increase and decrease the air pressure within the volume much more than the higher frequencies can, simply because the amplitude of vibration of the speaker is larger for the low frequencies than the high frequencies. The higher the frequency, the less the speaker moves, causing less air pressure in the volume. The lower the frequency, the more compression of the air volume. In fact, if the frequencies are below about 20 Hz, you cannot hear the tone, but you can feel it physically, and that could enhance the overall enjoyment of the music. Though not many headphones have such low frequency responses.
We can thus say that the sealed air volume acoustically couples the headphone speaker to your eardrum, and the amount of coupling is frequency dependent.
The same thing happens with ear buds. Have you ever wondered why ear buds can produce much of the same low frequencies that huge bass woofer speakers can? This is the reason. It's the coupling between the speaker in the bud and your eardrum, via the closed volume of air in the ear canal. The buds contain a coupling mechanism that the woofers don't have.