Official comment
@Steven > Please ensure that you are running the newest firmware on the XDJ-RX as well as the latest version of rekordbox as some recent connection issues have been addressed.
If you are running Windows, you will also need to allow the 4 connections from rekordbox through the firewall (see "Can't get the players to link"), when linked with your XDJ-RX, or if you're not sure if it's configured properly, disable the firewall as a test measure.