I had the same problem using the retropie 3.4 image. It appeared that it couldn’t automatically figure out that it needed to use the HDMI port for audio so I had to set it to do so manually.
1. Select Retropie from the main menu where you select which emulator you’re going to play.
2. Select “Configure Audio” or some such from the Retropie menu. It’s the first item.
3. Select “3. HDMI” from the menu and save changes.