First, see if the LED on your trainer remains constantly lit. If it doesn't have an LED, make sure that once it is plugged in to the mains, you can hear the group of magnets moving slightly. Second, make sure that the device you want to connect your trainer to meets the following specifications.
It has Bluetooth Smart 4.0
For PCs, make sure that the Bluetooth 4.0 drivers are updated to the latest version.
If the operating system is Windows, remember that you need Windows 8.1 or higher.
Finally, remember that Bluetooth pairing is 1 to 1, meaning that the trainer can only connect to one device at a time.