The Gnome team has been removing feature after feature from different gnome-related applications. In the current version of gnome-shell (3.12.2-3) on debian testing (jessie) there's yet another feature gone -- you can't access the audio settings from the desktop.
Whether you use right- or left-click on the audio icon, you get the same menu. Clicking on the audio (left- or right-click) icon in that menu only causes the volume to go to zero.
Instead, the only way to access audio settings is now via the system settings which takes longer and involves more clicks. It's a minor nuisance if you're used to how gnome has previously worked.