Which make and model of Bluetooth Headphones are you using as sometimes the way to pair differs from one model to another.
Typically they have a dedicated pair button or a slider you hold and you then hear an audible alert from the Headphones.
Once you activate this pair up mode setting on the Headphones your phone should pick that up and start the pairing up cycle.
Try a Google Search for instructions on how to pair your model Headphones or make your way to the manufacturers website for support.
Also try long holding down on the Bluetooth icon in your pull down shade as the device may still be listed in there.
Current Phone > Samsung Z Fold³ 5G.