No, it's not all the time. It really is just a matter of what you want to do. My wife works nights and is sometimes sleeping while I am playing so having headphones makes it such that I don't bother her. There are quite a few people in my clan that play with bluetooths but they seem to be converting to the full headsets for their ability to hear much better.
Prime example - I was playing TDM and a friend of mine was on the other team. I used to always run up behind and shank him. He had just swapped to the Tritton and was able to hear my footsteps coming up to him so he turned around and killed me. I don't do that to him anymore...