It’s common sense and it’s the law:

Bicyclists in New York State are prohibited by law from wearing more than one earphone attached to a telephone, radio or other audio device.  § 375(24-a) (NYS VEHICLE and TRAFFIC LAW)

You could be startled by a cyclist passing you, miss a shouted warning about upcoming road hazard.  It’s hard to avoid an approaching car you can’t hear.

If that's not enough reason to comply, police can and do ticket for violations.