Interesting. I tried this with my MacBook and found the following:

(1) With headphones plugged-in, the chime always sounded and was loud regardless of the volume level (max, min or off).

(2) With headphones unplugged and volume set to off, there was no chime.

I'm running Tiger (10.4.11). And the volume settings were made prior to shutting down and then restarting.