Volume reduces automatically after pluging headset into macbook pro
Headphones volume level is separate from the built-in speaker output. For example you can set the speakers' volume to 0 before plugging in headphones and then adjusting the headphones' volume to something different. When the headphones cable is unplugged, the system goes back to the previous volume value.

If I remember correctly, recent Macs also have a impedance sensor in the headphone jack, so that you can have different volume levels for different headphones based on impedance.