Is Bluetooth peripheral to peripheral possible?

I have a Bluetooth headset I use to make calls and listen to music. And I just bought this Bluetooth device that plugs into a 3.5mm audio jack.

I thought could pair these two together and use my Bluetooth headset as a gaming headset for my Xbox one since it has a jack for just the thing.

But when I put them into pairing mode they dont coect to each other. I know both coect to smartphones and laptops but is it possible to do what I'm asking and how can I go about it if it's true?