With standard civvy jack plugs (depending on the orientation of your sockets), there's every likelihood that the phones will stay with the aircraft (hopefully without your head!!). May have somewhat chafed ears for a while
With the NATO headset jacks, these are designed to detach as you exit the aircraft, so the headset stays with you (usually installed in a bone dome!!).
If you have an expensive ANR set, then you may wish to unplug the headset. If they are cheap, or the clubs, leave them!