Bluetooth headphones won't re-connect automatically

I'm using an old HTC Sensation XE with Android 4.1.2. Recently I bought a Creative WP-250 and encountered a weird issue with it. It paired with no problems, sound is going out through those headphones, mic is working as well but if I turn them off and on again it won't reconnect automatically and I have to manually go to Bluetooth settings each time and tap on the on it in the devices list. Isn't there any way to make Android reconnect to a Bluetooth device automatically if it's available? My friend's Nexus seems to be doing it but I can't find any such option in my phone.