There're a few things that can cause this. The headphones themselves may have a feature that enables it which you should be able to disable. Otherwise, you may have it configured in your os.
Did you install anything to use them? If so, perhaps the turtle beach software has a setting for this. If not, which OS are you on? Windows 10? 11? Linux?
I see in the other comments that you have sidetone disabled in the OS. Are you certain you didn't install any software when using the headset? If so, could you try using the headset with another pc or your phone and see if it still happens?