Too much of anything
can cause fatigue.
With EX71s I found booming
excessive bass to be very fatiguing.
With the GRADOs, and others, bright, and probably closely mic'ed music (Piano or Sax) can result in lots of listening fatigue if not listening pain.
Uncomfortable headphones (too much pressure on ears, around ears) causes fatigue and never lets you relax.
Excessive music separation, like that in old rock and roll recordings can cause fatigue. This is the kind of music where you might hear drums in the right driver, guitar in the left, and never the two shall meet in the middle.