Wearing headphones can improve your technique when using a microphone. Wearing headphones while speaking allows you to hear yourself the way your audience will. This will allow for better management of the speaker's tone and use of language. This can improve the sound quality of your content as you can adjust yourself in real-time. Doing this can also reduce the amount of time spent editing recorded content as you will be able to pick up small noises (like fans and buzzing) before you finish recording.
This is also true for any podcast guest. Many guests will not have much experience with microphones. Having headphones will allow them to hear if they are not speaking close enough to the microphone or vice versa.