Connecting iPhone 4 to MacBook Pro via Bluetooth
Check out this post by @DanielSchlaug on the same subject: It certainly helped me (and a few other people).

Here's the content of Daniel's the answer:


  This fixes what i presume to be a corrupt internet sharing preference file. It will also remove all other network settings such as wifi access-points and their passwords so keep that in mind. Other data such as pictures and contacts will be completely safe.
  
  
  On your iPhone, go to Settings -&gt; General -&gt; Reset and choose Reset Network Settings. 
  The iPhone will ask you to confirm and then restart.
  In Settings -&gt; Internet Sharing reenable it and choose to turn on bluetooth if a dialog asking to do so appears.
  Reconnect to your wifi-network if applicable.
  You're probably done, try connecting. If it doesn't work go on.
  In Settings -&gt; General -&gt; Bluetooth tap the blue arrow beside your computer and choose to forget the device.
  On your computer go to System Preferences -&gt; Bluetooth and remove your iPhone from the list.
  Go to System Preferences -&gt; Network. In the Location drop down choose Edit Locations.... Add a new location and press done.
  Make sure the new location is selected and press Apply.
  Go back to System Preferences -&gt; Bluetooth and re-pair your phone to the computer.
  Connect to your iPhone's bluetooth network.
  Back in System Preferences -&gt; Network if you do not have a Bluetooth PAN interface add it by pressing the + button in the lower left.
  Press Apply and cross your fingers.