You can make a personal judgement about him, whether you think he would feel you're interfering or otherwise take it badly. If not, then yes I think you should raise it with him. It sounds like you want to and it won't do any harm as long as you aren't aggressive or annoying about it.
If you do approach him, I would advise doing so fairly seriously. Humour can easily come across as either insincere or mocking, neither of which you want.
Don't actually tell him his headphones are too loud. That's not your judgement to make. Perhaps say something like, "I'm not telling you what to do, but considering how loudly I can hear your music from here, I'm concerned it might harm your hearing. It's very easy to lose track of how loud your music is, when you keep turning it up all day to drown out the office".
Judge the strength of your initial disclaimer according to your relationship with this person. Also judge whether he really needs to hear the second sentence at all and whether you can deliver it without seeming patronising. Then whatever he says in response, leave it there.
You should perhaps also check your company handbook (or whatever serves as one) and perhaps privately ask a non-specific question to whoever in the company who has responsibility for health and safety. If you're worried your colleague might react badly to your personal approach, then do this first, not afterwards (because of, "whatever he says in response, leave it there").
Obviously just the phrase "health and safety" will throw some people into a rage, but I'm guessing that since you care about your colleague's hearing, you're not one of them :-)
Depending on jurisdiction and company policy, it's possible that (a) this is a workplace health issue even though they're his headphones and he's chosen to use them for an ostensibly non-work purpose (listening to music); (b) employees have a responsibility around such issues that they notice affecting their colleagues. Basically, in some jurisdictions if you see a gigantic spike-filled hole in the floor at work you are required to report it, regardless of whether or not your colleagues are perfectly happy to dance around it blindfold.
I'm not saying that applies in this case, I don't know. But the instinct "this is none of my business" could be factually incorrect in this or similar cases.
(a) may seem weird, but if there's something about his work environment that induces him to make the decision (the most obvious being that he's blocking unwanted noise in order to concentrate) then it's at least potentially a work-related issue even though nobody at work has actually instructed him to use them.
My personal preference would be that employers who provide noisy office environments should also provide noise-cancelling headphones (which can be listened to at much lower volumes). And quieter offices. But I recognise that health and safety hasn't gone that mad yet.
If you follow this up the chain, and there is an issue, and your chain is reasonable, then the most likely outcome is some kind of company-wide memo advising people to check the volume they're listening at. Of course there's a risk that you'll end up embarrassed as some kind of busy-body. Again you have to make your own judgement, this one about whether you trust your company's occupational health procedures to treat you kindly rather than as some sort of dangerous whistle-blower!
