Hear myself (echo) even when using headphones. Does that make any sense??

I'm video chatting with a friend and can hear an echo of my voice while talking.
Super annoying.
What's weird though is that I'm using headphones to hear the audio. So then, if I'm listening to the sound through headphones, how is there an echo? My mic couldn't hear my voice come through the speakers 'cause I'm not using external speakers.
Any ideas how to help this?
Thanks.