I don't know if I know of any headphones that have a volume control that couldn't be changed pretty easily. However, there are headphones out there that have a volume limit. Here's one example. I don't know how old your child is, so these might be too small, but I'm sure you could find something similar for teens and adults.
Leonardo, I love your username. My daughter turns the volume up when she's not at home and is listening to someone else's device. My kids take their own headphones so there's no sharing. It's one of my tricks for preventing lice. Not sure I could handle it.