Actually, your MBP do not disconnect bluetooth when closing the lid. So if you turn on devices known (like your headphones) they will connect together. I also found this annoying when I wanted to connect my headphones to my phone but they always connected to my MBP...
You could install blueutil and SleepWatcher via homebrew and set a .sleep code to do
"/usr/local/bin/blueutil -p 0" when going to sleep mode.
To use SleepWatcher, make a shell script in your home directory named .sleep and give it permission with the chmod command.
You also can do a .wake code to turn bluetooth back on with
blueutil -p 1
You can find out how to use sleepwatcher here