That is because the adapter's connecting end is Thunderbolt 3 which your MacBook Pro does not have. The male end of the adapter will connect directly to your Thunderbolt 3 capable eGPU. You will also need the Thunderbolt cable that I listed in my original response. That cable has two male ends. One end will connect to your MacBook Pro and the other will connect to the female end of the adapter.
More Overview on the Adapter-
The Thunderbolt 3 (USB-C) to Thunderbolt 2 Adapter lets you connect Thunderbolt and Thunderbolt 2 devices — such as external hard drives and Thunderbolt docks — to any of the Thunderbolt 3 (USB-C) ports on your MacBook Pro.
As a bidirectional adapter, it can also connect new Thunderbolt 3 devices to a Mac with a Thunderbolt or Thunderbolt 2 port and macOS Sierra or later.
Axel F.