Hi, josfaber.
You'll need to make sure everything is set up properly as described in this article: Unlock your Mac with Apple Watch - Apple Support
"Turn on Auto Unlock
- Make sure that your devices are set up as follows:
- Your Mac has Wi-Fi and Bluetooth turned on.
- Your Mac and Apple Watch are signed in to iCloud with the same Apple ID, and your Apple ID is using two-factor authentication.
- Your Apple Watch is using a passcode.
- Choose Apple menu > System Preferences.
- Click Security & Privacy, then click General.
- Select “Use Apple Watch to unlock apps and your Mac.”
- If you have more than one Apple Watch, select the watches you want to use to unlock your apps and Mac.
If you don’t have two-factor authentication turned on for your Apple ID, follow the onscreen instructions, then try selecting the checkbox again. See the Apple Support article Two-factor authentication for Apple ID."
Aside from that, check to see if you have any sort of security software on your Mac that could potentially be blocking the connection.
If not, you may need to reach out to Apple directly to help you out with this: Get Support.