Now, without knowing the set up you have or the TV model this is what I would do.

In the audio settings on the TV there should be a setting that lets you keep both the TV speakers and the headphone output on at the same time.

If that doesn't work, assuming you are connecting your cable box to the tv using either RCA cables or Component cables you can get something like this which allows you to plug in the audio RCA from your cable box into this and another set of audio RCA's from the box to your TV, then plug your headphone jack into the box. It's a rough work around but it should work.