I never had car looses Bluetooth connection in last year, and I mean like never.
There are two different types of bluetooth connections the phone makes to the car. The "regular" one that the car uses for streaming music etc, and a bluetooth type called "Bluetooth LE" which is a very short range, that is used for the phone as key,
The connection that
@JulienW is speaking to dropping when you leave the car, is the bluetooth LE connection (if you look at your phone you may see a bunch of bluetooth connections with numbers instead of names. Its those).
OP, you have to basically "keep walking". It doesnt lock when you get out the car and close the door, its when you get out the car, close the door, and walk away a certain distance. As mentioned by
@flyingowl , it tends to be much more comforting to turn on beep on lock, because you can hear it then. I still (after 2 years of owning the car, having this feature on) pull out my smartphone when I am walking into a store or something to verify the lock in the tesla app is locked.
its a nice feature that it will show whether its open or locked in the tesla app.
=============================
TL ; DR for OP --- Turn on beep on lock, and keep walking farther away from the car. It should work.