The Bluetooth System Preference/Setting will show any nearby bluetooth devices....just because you see them does not mean they are connected to your computer. In fact, you must pair a bluetooth device to a particular device.....they don't pair automatically unless you have previously paired them with your Mac (usually requires confirming a code).
Any bluetooth devices which are actually paired with your Mac will be shown as "Connected". You can disconnect any connected bluetooth device you don't want. You can also unpair a connected device as well so it won't automatically reconnect. See this Apple article for details:
Connect a Bluetooth device with your Mac - Apple Support
If the bluetooth device does not show as "connected", then you have nothing to worry about. It is like how you may see multiple SSIDs for numerous WiFi networks. Just because you can see them does not mean you are connected to them, or they to you.