How are your listening to your audio? Laptop speakers, bluetooth, USB? Premiere Pro (and all adobe Pro Video applications can send audio to a different audio output then the system uses. I see this a lot with students (I teach video editing and animation).
Check these preferences and point them to the speakers/headset your are using:
Presences > Audio Hardware > Default Output
Presences > Playback > Audio Device
If your are using external audio hardware (like USB/Bluetooth devices) chances are these preferences get mixed up.
Joost, thank you so much for pointing out the Playback tab in preferences. I had been focused on Audio Hardware.
It looks like Premiere is switching between Adobe Desktop Audio and Newtek NDI output without me changing the preferences.
You've saved me quite a few gray hairs
you are welcome! :-)