But that doesn't go to say that you shouldn't listen on headphones.
To get the best mix possible, try listening to it on as many sources as you can. Good monitors, headphones, crappy computer speakers, cd players and a very important one, a vehicle (car, van, etc)
It's very hard to get an accurate mix with just headphones. Because the strereo field is so extreme with headphones, your mixes often do not translate well to other systems. It can also skew your frequency response. Monitors on the other hand, when properly set up, can give you a very accurate image and much more accurate frequency response.