My locker has been broken open a few times by my bunk mate who likes to kope my food. So no surprise that they may steal your headphones as well.
Although you can sound out to your SGT/PS/PC for standby universe for whole coy to search for the thief. But whole coy will hate you for it and the coy itself may even ban all music players to be brought.
So, think of the consequences and see if it is worth it.