The Steam Controller is actually paired with a wireless dongle, and Valve still recommends using it whenever possible, since it provides the fastest connection. However, the option to connect via Bluetooth will enable you to use the gamepad with any mobile device or laptop without a USB port. You can use it even with devices that do have USB ports, though, in case you lose or forget the controller's tiny receiver. Valve says the gamepad's BLE connection is "excellent," so it'll probably do the trick unless you're playing a game where you absolutely can't risk lags. (In case the gamepad's receiver is also plugged in, you can easily switch between the two modes whenever you want.)

To get the Bluetooth feature, you'll have to opt into the latest Steam Client Beta and choose to "update firmware now," as you can see in the image above. Considering it's a beta feature, you can expect to encounter bugs and kinks that still need to be worked out -- you can always wait for the final release if you'd rather not risk it.