If I'm on a bike I sometimes use the headphones, but turned down so I can still hear what's going on around me. On though I often have them turned up, (so I like the old rock!) at those times though my eyes are working overtime.

Nothing inherently wrong with it but if you're the type that needs to remind yourself to pay attention, then by all means keep the ears open. If you feel your speedometer, heart rate monitor, or whatever makes it difficult to watch where you're going then don't use them either.

Ken.