are you on the latest OS version? 10586.318? Also, are all your apps up to date? If yes to these questions, try a different set of headphones and check if sound plays or not. If not, then you could take the phone back to the store for service or replacement
If you need additional help or have more questions or details to share, please join the site so you can reply in this thread. See this link for instructions on how to join Windows Central.