Thanks for the post.
What specific Roku model device are you using? Have you made sure that there is nothing lodged into the headphone socket as well as making sure the cord is plugged completely in the socket? Can you please clarify the behavior you are current seeing with this issue? What do you mean "get out of Roku"? Are you exiting back to the Roku Home screen, then having to re-enter the channel you are using for the private listening feature to work?
With more detailed information, we will be able to assist you further.
Roku Community Moderator