Spoiler: I do, most of the time. :)
Look closely, they're there!
These days my headphones of choice are Shokz Aeropex (now listed as Shokz OpenRun), which are bone conduction open-ear headphones specifically designed for running. That means that they don't actually go in your ears, which means you can still actually hear everything going on around you while using them. Yes they're a bit pricey, but I got my current pair on a Labor Day sale in 2021, and given that I use them nearly every single day of my life (not only for running but also a lot of times while working, doing errands on foot, or doing chores around the house), that $141.16 (after tax) amortizes to something like 30 cents a day and dropping, which seems like a pretty good deal. (And also people pay $250+ for freaking AirPods???? 😱 JGDFC.)