DDJ-FLX4 No Sound Output?

I recently bought the DDJ-FLX4 controller and I'm trying to practice with just headphones, no speakers. I have Macbook connected to the controller through given wire. Headphones are plugged in through the front. However, when I pull up a track my controller is fully lit up, but there is no sound coming to my headphones, just static. This is just weird because I'm able to manipulate music through controller and the changes show up on my computer; however, nothing can be heard. 

I have checked my audio configuration in my dj program, and the headphones do connect and play sound when connected just to my macbook, so they aren't faulty. 

It seems like connection from mac to controller is good. But something is going wrong from controller to headphones. Thank you for any help!