PHP JS No ‘Access-Control-Allow-Origin’

I try to do a XMLHttpRequest from Javascript to a PHP script. Both are on the same server, but get the Error message:

myDomain.de/:1 Access to XMLHttpRequest at 'https://www.myDomain.de/test/lastId.php' from
origin 'https://myDomain.de' has been blocked by CORS policy: Response to preflight 
request doesn't pass access control check: No 'Access-Control-Allow-Origin' header is 
present on the requested resource.

What’s the problem?
I tried Chrome and Edge as browser.

Thanks,
Stephan

<?php
ini_set('display_errors', 1);
ini_set('display_startup_errors', 1);
error_reporting(E_ALL);

header('Access-Control-Allow-Origin: https://www.myDomain.de');
header("Access-Control-Allow-Methods: GET, POST, OPTIONS");
header("Access-Control-Allow-Headers: *");

return "helloFromServer";
?>

function easy() {
  const xhr = new XMLHttpRequest();
  const url = "https://www.myDomain.de/test/lastId.php"  
  xhr.onreadystatechange = function () {
    if (this.readyState == 4 && this.status == 200) {
      console.log("succeed");
    } else {
      console.log("failure");
    }
  };
  xhr.open("GET", url);
  xhr.setRequestHeader("Access-Control-Allow-Origin", "https://www.myDomain.de");
  xhr.setRequestHeader("Access-Control-Allow-Methods", "*");
  xhr.setRequestHeader("Access-Control-Allow-Headers", "*");
  xhr.send();
}