I cannot connect Bluetooth headset Sony(MDR-XB950BT) with my MBPr late 2013?

Even I had the same problem , but I found a solution on the support page of Sony:

First, turn on your headset by pressing the power button for 2 seconds. Wait a couple of seconds, then press it again, but now for 7 seconds or a bit more.

The power indicator should be flashing red-blue quite fast. Now, go to your bluetooth settings on your mac and watch your MDR-XB950BT appear 😀 Couple it and you're done!

OMG thank you! I was about to return these headphones after struggling for an hour to pair them with my ipad. It took a few tries of pressing & holding the button like you said but all of a sudden the indicator light starting flashing blue/red quickly like you described. Then the headphones FINALLY showed up in my list of bluetooth devices on my ipad. THANK YOU!!!

Perfectly solve problem I encountered, thanks!

Thank you! this worked instantly !