Shower heads are meant to spray water at a rate of about 2-1/4 gpm. If they leak, they would leak at the fitting where they attach to the stem (usually bent) coming out of the wall from the shower fitting. If the leak is at the attachment to the stem for two shower heads – most likely you need one with a good thread and pipe sealant.
If you mean it leaks when the water is shut off then the problem is that you need to repair the faucet. It the leak is at the head’s connection, then you may not have installed the rubber gasket that most replacements use to prevent leakage.