You can have multiple bluetooth devices connected at once but they cannot use the same profiles.
For instance, you can connect to a stereo a2dp profile on one bluetooth device and a phone profile on another device simultaneously.
I connect to 3 devices at once, a stereo bluetooth dongle in the car, a headset, and an OBDII Elm327 diagnostic vehicle scanner.
In your case, if you want to connect to both, you need to uncheck the "Call audio" in the settings for that specific device. Make sure only "Media audio is connected". Next, for your headset, if it only supports "Call audio" i.e. the phone profile, then your done and you don't need to do anything. If your headset is a newer one that supports media audio, you'll need to go to the settings and do just the opposite you did for the car media bluetooth and deselect "Media audio" leaving only "Call audio" checked.