I had the same issue.
If your motherboard has the connection for WiFi antennas, then your Bluetooth antennas are going to be these. Make sure they are attached correctly. As you mention your computer is new, probably this would be the issue.
Otherwise I'd recommend to buy an USB Bluetooth antenna and see if the issue persists. If so, it's something with your system
Thanks man, finally my headphone are working!
You are a life saver, I was thinking as well the antenna was only for the wi-fi.