For models that support Bluetooth headphones, see:
How to use Bluetooth headphones for Headphone Mode on your Roku streaming device | Official Roku Sup...
No device itself (other than a TV) ever had a headphone jack; only some remotes did. The only current remote that supports headphones is the original Voice Remote Pro and the accessories page shows it as "Backorder". No one has said if or when it will be available again.
You can also use the mobile app and headphones connected to your phone.
Roku Mobile App - Free for iOS® or Android™ | Roku
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