Hello jasemahar,
If your headphones are not showing up in the Find My app, you'll want to try removing them and re-pairing them.
Go to Settings > Bluetooth, select the info button ⓘ next to the headphones, then select Forget This Device. Once it's removed, just open the headphone case next to the phone and re-pair them.
You'll also want to make sure the device they're paired with has the Find My service and network currently enabled. Go to Settings > your name at the top Find My > Find My iPhone, and make sure both the Find My iPhone and Find My Network options are currently enabled.
Use the Find My app to locate a missing device or item
Cheers!