A hearing device, e.g. a hearing aid, configured to play sound into an ear canal of a user, the hearing device comprising at least one input transducer (ITq) for picking up sound sq at said at least one input transducer from a sound field S around the hearing device and providing corresponding at least one electric input signal(s) INq representing said sound sq, i=1, . . . , Q, where Q≥1; an analogue to digital converter for converting said at least one electric input signal(s) to a digitized signal represented by discrete samples sq(p), where p is a time sample index, a processor for processing said at least one electric input signal sq(p) to a processed signal; an output transducer (OT) for converting an electric signal including said processed signal to an acoustic signal s″; a forward signal path of the hearing device being defined from an acoustic input to said at least one input transducer to an acoustic output of said output transducer having a forward signal propagation delay τHI of the hearing device, the hearing device further comprises a compensation unit for at least partially cancelling directly propagated sound from said sound field S that is propagated to the ear canal via a direct acoustic propagation path, wherein the compensation unit is configured to predict said directly propagated sound and to play it in opposite phase of said directly propagated sound. A method of operating a hearing device is further disclosed.