at the risk of giving a serious answer (although before all you physicists out there shout me down, I know this is the simplified version)…..
audio cables (like the one on your headphones) are often affected by mobile phones, power cables near by and basically anything else close to them that can cause or modify a magnetic field around the cable (generated by passing electricity down a wire)
It is however possible to get headphones with decent shielded cable on them which will minimise this problem as much as possible but they get in to the territory of big bucks quickly. Reality is that you will struggle to get rid of it completely, short of moving the phone away from the cabling.
You will find that different phones cause the effect to different levels, my iphone for example is particularly bad for this (as are blackberry's before you all start).
i will now put my geekyness away until it is next required!!