I just managed this myself on an application I'm working on. This is a business transaction app, but users will include untrained volunteers. So, simplicity is essential.
We simply sent a simple message on the page indicating that the audio device (which uses the microphone) says "Your slipped card is not connected". This is clear: the device in question is not registered by the application. We tested this with users and found no problem in understanding the implications, although the way to "fix" device connection issues remains a challenge.
For an audio accessory only as a headphone, I would suggest something as simple, perhaps with an action: "Please plug a headset" or "Headset not connected". It really depends on the type of audio source you are talking about, or if there is no specific type, simply select "Audio source not connected" or "Please connect an audio source".