This sounds a bit odd, but it is quite common for beginning players (and some more advanced ones) to have difficulty playing and listening at the same time. It has to do with having to think about so many things while playing such as tone production, tonguing, notes and fingerings, counting rhythms, etc. that it is hard to focus on one more thing which is listening to the backing track or accompaniment. Some suggestions that might help:
- Listen to the backing track while just following along in the music.
- Listen to the backing track while singing your part.
- Listen to the backing track while you sing and finger the notes on the saxophone.
- Listen to the backing track while playing softly.