Have you heard the saying, If a tree falls in a forest and no one is there to hear it, does it still make a sound? Well, in Unity, if there is nothing to hear your audio, then the answer is no. This is because Unity has a component called an Audio Listener, which works like a microphone. To locate the Audio Listener, click the Main Camera, and then look over at the Inspector; it should be located near the bottom, like in the following image:

If for some reason, it isn't there, you can always add it by clicking the following button titled Add Component, type Audio Listener, and select it (click it) from the list, like in the following image:

The important thing to remember is that an Audio Listener is the location of the sound, so it makes sense as to why it is typically placed on the Main Camera, but it can also be placed on a Player. A single scene can only have one Audio Listener; therefore, it's best to experiment with the one that works best for your game.