Check if there's anything on the headphone jack that may be blocking the connection. Have you tried using a different headphone to your phone?

Yes I tried the headphone with and other devices it work good

Have you tried using your headphones to other devices? If it also doesn't work to other devices, then you have a faulty headphones. If that's a new headphones, then you can get a replacement.

I want to listen music with my Sony Xperia z1 with my headphones is not working, what can I do