Sounds like your headphones are pretty damn good. I agree with the others that you have to set your system to sound its best through the speakers you are using. Once you do that, the sound through your headpones will be a reflection of that setup. If the headphones still sound better, then I would think your system is smaller than you want.

I know that when I use headphones directly out of a keyboard or a mixer the sound is always superb and a little different than the speaker mix; I imagine you are experiencing much the same effect.