OmbDave. depending on the impedance of headphones volume does vary from the same output signal. (Low Impedance headphones give higher volume for a given output.)
In general, low impedance headphones (which we will hereby define as below 50 ohms) are designed to work properly with portable devices, as they can efficiently reproduce adequate sound quality and volume from a low voltage device.
Conversely, high impedance headphones (50 ohms and greater) usually require robust amplification to perform their best.