DeletedUser29 You're surprised it consumes more battery when your phone also powers a pair of headphones compared to when your headphones have their own power source?
This is most likely the reason. I have a different model of Sony Wireless Headphones, and when using the 3.5mm audio-in they can be used without being turned on or having any battery. Obviously without the noise cancelling feature. So they're behaving just like a classic wired headphone, ie. the power comes from audio source (phone) through the cable.
I doubt that the dongle on its own uses more energy than sending the Bluetooth signal.