Anyone know of a program that will mute sound if my headphones are removed?

There's a very simple reason why its not possible - when you plug in a pair of headphones, there's a small physical switch that cuts out main speakers so the system is not actually aware which is plugged in.

The 'simplest' solution is probably to use an external sound card, or a extention cord for your headphones (even a short one) - the latter would bypass the speakers totally, while the latter would keep the switch closed so no sound comes out

Its not a software solution but its a fairly simple hardware one

Although I don't know of any software that does it I am sure that it would be possible given that my sound card alerts via a popup me when I plug in or pull out anything attached to the headphone jack. Contra to what Mohan Gajula says I'd suggest asking Mr Google.