Often, when working on a mix in headphones, there are errors in setting the instrument levels. For example, the vocals sound too quiet or the bass sounds too loud. Mistakes are also common when setting up compressors. They lead to mixes made in headphones that sound over-compressed.
The main reason for these problems is the uneven frequency response of headphones - different frequency components are reproduced with different volumes, and this affects the perception of the loudness of a particular instrument in the mix.