Weak connection of my Note 5 to gear circle bluetooth headphones

My Note 5 used to connect to samsung gear circle. After 5.1.1. update, it connects to it but drops the connection when I move it slightly away from phone. Connects again, but then drops again. No problem with the car though. My wife's phone is 5.0 and her phone is working with the same headphones no problem.
I tried the headphones with her phone, they work fine. I tried her headphones with my 5.1.1, same problem. So the problem must be the brand new Note 5 with android 5.1.1 update.
Any suggestions? And yes, I tried clearing the cache and all that.