Decay is used to describe how a sound 'extends' or carries on so to speak. If a drum is hit for example , natural 'decay' would be it's natural resonance that follows, if a HP had slow decay it would carry the resonance on for too long and this wouldn't be desirable. Another way to think of it is a headphones ability to accurately move and stop when required and with the correct energy. I suppose an impulse response graph or csd plot would be the objective way of seeing this . Probably not the best description but I hope this helps. Hopefully someone can add to this to make it easier .
We can put it into an analogy I guess... Headphone decay = cars brakes. If a car needs a long time to brake, then they are not desirable. On the contrary, swift braking cars are desirable.
Don't know if this is a good analogy or not, hope it helps.