Deleted member 21219
May I suggest that it is because your wonderful headphones correctly adjust for the proximity effect in its tuning, and that you wouldn't have felt like you were in a concert hall if your headphones were tuned to the DF target?
I think @IAtaman hit the nail on the head with "acoustic loading" as a reason for the difference. Take a small transducer (such as a 4" full-range) that is "tuned" for the box into which it is inserted, and take it out. Lay it on the table. The same difference in sound will occur as a pair of headphones, and yet it's not proximity effect. It's loading and cancellation .... nothing to do with the brain.