WPF Error: Cannot find governing FrameworkElement for target element

A slightly shorter alternative to using a StaticResource as in the accepted answer is x:Reference:

<StackPanel>

    <!--Set the DataContext here if you do not want to inherit the parent one-->
    <FrameworkElement x:Name="ProxyElement" Visibility="Collapsed"/>

    <DataGrid>
        <DataGrid.Columns>
            <DataGridTextColumn
                Header="{Binding DataContext.Whatever, Source={x:Reference ProxyElement}}"
                Binding="{Binding ...}" />
        </DataGrid.Columns>
    </DataGrid>

</StackPanel>

The main advantage of this is: if you already have an element which is not a DataGrid's ancestor (i.e. not the StackPanel in the example above), you can just give it a name and use it as the x:Reference instead, hence not needing to define any dummy FrameworkElement at all.

If you try referencing an ancestor, you will get a XamlParseException at run-time due to a cyclical dependency.

Sadly any DataGridColumn hosted under DataGrid.Columns is not part of Visual tree and therefore not connected to the data context of the datagrid. So bindings do not work with their properties such as Visibility or Header etc (although these properties are valid dependency properties!).

Now you may wonder how is that possible? Isn't their Binding property supposed to be bound to the data context? Well it simply is a hack. The binding does not really work. It is actually the datagrid cells that copy / clone this binding object and use it for displaying their own contents!

So now back to solving your issue, I assume that HeaderItems is a property of the object that is set as the DataContext of your parent View. We can connect the DataContext of the view to any DataGridColumn via something we call a ProxyElement.

The example below illustrates how to connect a logical child such as ContextMenu or DataGridColumn to the parent View's DataContext

 <Window x:Class="WpfApplicationMultiThreading.Window5"
         xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
         xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"        
         xmlns:vb="http://schemas.microsoft.com/wpf/2008/toolkit"
         Title="Window5" Height="300" Width="300" >
  <Grid x:Name="MyGrid">
    <Grid.Resources>
        <FrameworkElement x:Key="ProxyElement" DataContext="{Binding}"/>
    </Grid.Resources>
    <Grid.DataContext>
         <TextBlock Text="Text Column Header" Tag="Tag Columne Header"/>
    </Grid.DataContext>
    <ContentControl Visibility="Collapsed"
             Content="{StaticResource ProxyElement}"/>
    <vb:DataGrid AutoGenerateColumns="False" x:Name="MyDataGrid">
        <vb:DataGrid.ItemsSource>
            <x:Array Type="{x:Type TextBlock}">
                <TextBlock Text="1" Tag="1.1"/>
                <TextBlock Text="2" Tag="1.2"/>
                <TextBlock Text="3" Tag="2.1"/>
                <TextBlock Text="4" Tag="2.2"/>
            </x:Array>
        </vb:DataGrid.ItemsSource>
        <vb:DataGrid.Columns>
            <vb:DataGridTextColumn
                       Header="{Binding DataContext.Text,
                                     Source={StaticResource ProxyElement}}"
                       Binding="{Binding Text}"/>
            <vb:DataGridTextColumn
                       Header="{Binding DataContext.Tag,
                                     Source={StaticResource ProxyElement}}"
                       Binding="{Binding Tag}"/>
        </vb:DataGrid.Columns>
    </vb:DataGrid>
  </Grid>
</Window>

The view above encountered the same binding error that you have found if I did not have implemented the ProxyElement hack. The ProxyElement is any FrameworkElement that steals the DataContext from the main View and offers it to the logical child such as ContextMenu or DataGridColumn. For that it must be hosted as a Content into an invisible ContentControl which is under the same View.

I hope this guides you in correct direction.