Try this:
Step 1: Press Shift + Option
Step 2: Click on the Bluetooth icon in the menu bar
Step 3: Select Reset the Bluetooth module > OK > restart the Mac.
Or
Go to Terminal and type:
sudo rm -R /Library/Preferences/com.apple.Bluetooth.plist > Enter > restart the Mac.
Or
Open up Finder and then click on 'Go' in the top menu, then 'Go to Folder...'. Type in '/Library/Preferences'.
From there, you should see a file called 'com.apple.Bluetooth.plist '.
Select and delete the file (or move it to another folder for safe keeping), then restart your Mac and try connecting your Bluetooth device again.