You still haven't said the Pi model you're using, as asked in https://retropie.org.uk/forum/topic/3/read-this-first. Can you please add that info ?
You need to configure the Audio:
first in the RetroPie system, by opening the Audio entry there and choosing Headphones as your audio output next in EmulationStation's menu, under the Audio sub-menu, choose the default card to be either PCM or Headphones.