How to save yourself from a chatty neighbour in the office?

So, I have a chatty colleague, who sits right in front of me. He talks non-stop throughout the day, and won't let me focus on my tasks. How do I save myself from him? I have tried putting my headphones on to ignore, but he just brings his hands in front of my face, "Oye Oye, Sun ek baat" ( Hey, Hey, just listen one thing). The other option is to get up from the seat and leave, but then my work gets affected. My office does not have any spare seat or room or anything of that sort, where I can just sit and work. Help me guys!!!