You can listen to iTunes audio through any of the following:
Your computer’s built-in speakers
Speakers connected to your computer and a power outlet
Remote speakers connected to an AirPort Express network
An AirPlay-enabled device
To choose which speakers to use:
If you connect external speakers, iTunes plays through them and mutes the computer’s built-in speakers.
If you connect speakers to an AirPort Express network, or if you use Apple TV or another AirPlay-enabled device, a Speakers button appears at the bottom of the iTunes window. To listen through your remote speakers, click the button and choose the speakers from the pop-up menu that appears.

If you don’t see the menu, iTunes uses your computer’s speakers (and external speakers, if any are connected). To use only the volume controls on your remote speakers, see Adjust the sound quality.
To prevent your computer from looking for remote speakers (and displaying the Speakers pop-up menu), choose iTunes > Preferences, click Devices, and deselect “Look for remote speakers connected with AirPlay.”
If you can’t choose your remote speakers, make sure that:
Your AirPort Express is properly plugged into a working power outlet, and your remote speakers are properly connected to your AirPort Express (if you’re using AirPlay via AirPort Express).
Your Apple TV is properly connected and paired with the iTunes library you’re using (if you’re using Apple TV).
The “Look for remote speakers connected with AirPlay” checkbox is selected in iTunes preferences (choose iTunes > Preferences, and click Devices).
Your computer is in range of your wireless network (if you’re using one) and your AirPort Express, Apple TV, or other AirPlay-enabled device is joined to the network and is active. Open the AirPort status menu and make sure your network is selected (it has a checkmark in front of it).
If you still can’t choose your remote speakers, or need more information about setting up your AirPort Express, Apple TV, or AirPlay-enabled device, see the documentation that came with it or visit the AirPort Support or AirPort Express websites.