If you were not shown how to find lost things, check with your parents. The usual steps are to look where you last used them, where you usually put them, underneath something like a shirt/towel/desk. Most inanimate objects do not tell you where they are, you may find the same issue if you lose a sock or a pen. But the training you will get in finding your headset will also help you with finding those items.
You may be able to train a dog to find headsets also, find a dog trainer and a dog if you don't have one already.