Well, that all depends.

If your radio is so loud it impedes your ability to hear sounds like a truck backing upor an approaching forklift,then yes,it is unsafe.

If you have earphones on with music playing too loud you could risk hearing damage, that’s not ideal either.

This is exactly the type of thing that should be outlined in a safety program. Best to talk to your supervisor about what your employer’s policy is on listening to music in your workplace.