There's dozens of reasons people could perceive a difference, the biggest one being confirmation bias.
If you WANT to hear a difference, there's a much greater chance you will. I'm not talking a conscious want but more a subconscious one. Things like having read dozens of articles online discussing burnin and wanting to be able to hear that difference, rather than admitting that maybe they can't hear a difference.
It works for selling cables, hifi-furniture and a whole slew of other stuff that "might" or "could" make a difference, but when measured tells a different story.
Honestly, I don't care either way - I like listening to music, different headphones present it in different ways and sometimes my mood, or other outside influences (eg: alcohol/full moon/hunger/sun spot activity/global warming) influence me to perceive things differently - that's cool, as long as I'm still enjoying the music I'm happy
Audio preference isn't something anyone has been able to benchmark so far. We have as many headphones as there are types of beer because it's a taste thing. They change the labels, release a fancy special edition now and then or side projects, but ultimately a good beer is still a good beer and will be until people stop enjoying beer.