I can't connect my iPad Air 2 by Bluetooth to my iPhone SE

Correct, as there is no supported Bluetooth protocol to do so. If you could tell us what you are hoping to accomplish, we will probably have a suggestion.

Good morning Giulio 🇨🇦.

Check: Use Handoff to continue a task on your other devices - Apple Support

And: Use Continuity to connect your Mac, iPhone, iPad, iPod touch, and Apple Watch - Apple Support

Bluetooth connection from iPhone to iPad (and viceversa) is not allowed and will never work.

Regards

Giulio

Good morning Stedman 🇮🇹

For what purpose please?

You’re welcome.