bluetooth security

Recently, I turned on my bluetooth on my mac to connect to my headphones, and on the list of things that connected to my mac was an unknown device. It was in a faded shade, and I wasn't able to click on it or remove it. I've never seen this device before, and I'm worried that someone may be connected to my mac without my knowledge and be able to see my screen. Is this possible? If so, how can I secure my laptop so this doesn't happen again?