How to Pair an iPhone 4 to an iPhone 3GS using Bluetooth I have an iPhone 3GS that has a data plan and tethering enabled. It is running iOS 5.1.1

Being an iPhone 3GS it only does tethering over bluetooth and USB, not WiFi.

I also have iPhone 4, a 1st-gen iPad, and a year-old MacBook Pro.

I have been able to connect to the internet from the iPad to the iPhone 3GS over bluetooth (started System Preferences --> General --> Bluetooth on both devices, Paired the iPad with the iPhone etc.).

I have also been able to connect to the internet from the MacBook Pro to the iPhone 3GS over bluetooth (started System Preferences --> General --> Bluetooth on the iPhone, Set up a Bluetooth Device on the Mac, Paired the Mac with the iPhone etc.)

However, I cannot connect my iPhone 4 to the iPhone 3GS via bluetooth.

When I start up bluetooth preferences on both devices, they do not see each other. Since I cannot see the device, I cannot pair. 

The iPhone 4 is also running iOS 5.1.1, same as the iPad.

Any reason why I cannot see or connect from the iPhone 4?
You can’t tether an iPhone to another iPhone. For that, you would need to jailbreak.