Hi ayushman48
welcome to the Apple (user-to-user) Community.
Re: "iPhone 14 not discovering Sony headphone"
If you haven't already, you might want to try wearing your headphone,
and
on iPhone: Try Settings > Bluetooth > tap "Not Connected"
or
You might want to check that you are only connecting headphone to one device at a time. (Eg may not be switching between multiple devices.)
See if turn off / turn on bluetooth helps
Check for tips:
For recent iPhones: Set up and use Bluetooth accessories on iPhone – Apple Support
or
Pair a third-party Bluetooth accessory with your iPhone or iPad - Apple Support
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Re: compatibility:
You may want to check with Sony if a headphone firmware update is needed for compatibility with your iPhone 14's iOS version,
or
if you haven't already, your iPhone may need updating to the latest iOS version
(iOS 16.5).
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More trouble-shooting:
What to do: If you can't connect a Bluetooth accessory to your iPhone, iPad, or iPod touch - Apple Support
Also, something in here may help::
Resolve Wi-Fi and Bluetooth issues caused by wireless interference - Apple Support
More support if needed
iPhone Support:
(There's a "Get Support: start now" link (online chat, phone, eMail etc) at the bottom of their webpage... link below)
iPhone - Official Apple Support:
All the best :-)