How to record the sound also in a screen recording if the headphones are connected? I would like to know If I will be able to record using quick time player or other application you may suggest, both audio and video on my Macbook Air with head phones connected !!

When headphones are not connected, there is no problem, i go to setting on the recording screen and i choose built-in microphone

But what i want is while i'm using my headphones, when i want to record a video, i want it to capt the audio from that video rolling on my mac, not the sound of outside
You need to create a virtual audio output and use it as input. Try using Soundflower or similar software.
Hope it helps.