At the risk of appearing silly!
Why don't tube amps have headphones?
Maybe a good thing, I would probably blow my ear-drums LOL
Because the tube sound is very much impacted by the poweramp, and after that it's a pain to get it ready for headphones. If you so want: put a loadbox/attenuator after the poweramp, use the send-out to send it to a speaker emulator (like the Behringer DI) and send that to a mixer. Plug into the headhphone out and you're done. Remember that not using real speaker will have an effect on the soundquality, but atleast you can practice with your tube amp all open without disturbing anyone.
Also, for headphones to be used as intended, the speaker needs to disconnect when you plug them in. A tube amp needs to run at a specific resistance. Without this load you can/will blow your output transformer. So like Arjen said, it's tricky and expensive in tube amps. You would need a built in attenuator or something. In solid state amps this seems to be no problem at all as they all seem to have headphone jacks.
"Work hard, rock hard, eat hard, sleep hard,
grow big, wear glasses if you need 'em."
-- The Webb Wilder Credo --
