In order to save battery power, the wireless radio that connects to the USB dongle will power off if it's not connected to the dongle for 5 minutes. The Bluetooth function will continue to work so you can listen to music on the go for longer. You'll see that the blue LED is on and the white LED is off when this happens.
If you return to your console and want to reconnect to the dongle, simply power the headset off and then on again and the headset will reconnect to the dongle. The white LED will turn on solid when the headset is connected to the dongle again.