Are you in a basement or in a place with large electrical interference? That could be messing with the signal to the device.
Alternatively, are your headphones frayed or damaged? This device uses your headphones as its antenna. If the headphones do not function, the device has a broken antenna and replacing the headphones would be a good idea.
If those do not work, check the audio jack for debris or dust that could dilute the signal and clean it as necessary with clean tweezers or an unused toothpick.