There is no sound from an audio device that is connected to the Walkman headphone jack

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Depending on the device you connect, there may be no sound when you connect it to the Walkman headphone jack via a cable. 

Why is there no sound?

The headphone jack of the Walkman automatically detects the device connection status. It does this to reduce power consumption. 

If you connect the Walkman with devices other than headphones (e.g. a car audio device), the audio may not be output because the Walkman isn't detecting headphones. Your other device is therefore not seen by the Walkman as an output device, and no audio is heard.