Headphones aren't very good for "3D location", compared to surround sound speakers or real life. Headphones ARE very good for hearing little details (like footsteps).
Normally we naturally turn our head, sometimes just slightly and sometimes subconsciously, or sometimes we turn to look where the sound is coming from. The head movement gives more "readings" for our ears to triangulate the source of the sound. But even in real life, if you've ever tried to find a squeak or rattle in you car you realize how poorly it works.
To really "zoom-in" it helps if you can actually see what's making the sound. There are other "directional" cues but I
think head movement is the most important.
Of course with headphones the sound source moves when we move our head so it doesn't work. Somebody used to make head-tracking headphones (for surround) where the sound changes when you move your head. I don't think they make them anymore but there are head tracking devices & software. (I've never tried any of it.)