Over-promiscuous bluetooth on Macbook Pro
I've had my Macbook Pro automatically connect to devices when they power up, but I've never seen a Bluetooth device automatically pair when it's not in the Bluetooth devices list.

I've never used Bluetooth headphones before, but it sounds like there's some sort of special case happening for audio devices, or at least this particular audio device. is "Prompt for all incoming audio requests" ticked in the Advanced options? It sounds like unticked would imply that audio devices would pair automatically.