The Roku Ultra has a headphone jack on the remote. So does the Streaming Stick+ Headphone Edition (from Best Buy)
https://www.roku.com/products/accessories/player
Those headphone remotes (Enhanced Voice Remote) may even work on some other Roku devices, but someone more experienced with that, such as user @Tivoburkee, would be better to confirm that.
DBDukes
Roku Community Streaming Expert
Note: I am not a Roku employee.
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