If your headphones are connected to your phone and your phone rings, you will hear it ring through your headphones. This is because mobile phones are widely accepted as the 'dominant' device. The call will not automatically connect but can be answered.
To accept this call, press the middle 'multi-function' button on the left ear cup of your headphones or answer on your phone screen. You can then take this call through your headphones with your audio detected by the internal microphone.
To deny this call you will need to deny the call on your phone screen (or let it ring out).