Here is a link to a video from SONY that will show you how to pair Bluetooth devices to your TV set:
https/www.youtube.com/watch?v=88VvSGiZXCU
From what I read, SONY did not initially support Bluetooth headphones with their model year '15 and '16 TV sets, however an update to Android 6 may come at some point. I personally would not hold my breath waiting for SONY to update anything, especially after reading their forums.
Your best bet is to connect your Bluetooth headphones to your TV in some fashion other than directly, unless it happens to have native support.