GB... I only have the Roku 3. There's a mini-audio socket & volume-control buttons on the REMOTE designed for earbuds/headsets. I've also seen references to the same setup on the Roku 4 Remote. Here's a link to a YouTube Roku 4 review. Within the review, earbuds are pictured connected to the remote:

https://www.youtube.com/watch?v=oK_dDX9QR0I

Regards...