Disable Bluetooth "roaming" on Macbook Pro
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