This question's answer depends on the state of the particular connection you are talking about, as in Active, Passive and Off.
Active means that data transfer is occurring, Passive means that the radio is switched on, Off means the radio is off.
Active: Bluetooth > 4G (LTE) > WiFi > 3G and 2G
Passive: Bluetooth > 4G (LTE) > 3G and 2G > WiFi
In the active state, bluetooth keeps looking for devices to connect to and broadcasts a bluetooth signal to allow other devices to discover it. The latter is one of the greatest causes of battery drain apart from actual data transfer. To prevent it, you should turn off "Visibility/Discovery" which is something not available on all devices.
The battery consumption from any cellular connection depends a lot on the signal stability and strength, so prefer 3G and 2G over LTE because as of now LTE doesn't have a great network.
WiFi in the active state doesn't consume too much power as the data transfers are completed in a shorted period of time and the radio remains idle for more time than compared to cellular connections.
In the passive state, bluetooth searches for discoverable devices making it drain too much battery. WiFi when idle has no network activity and hence the radio 'sleeps' to allow for power savings. (PS: Allowing your device to automatically discover hotspots will drain a lot of juice as it requires the WiFi radio to both transmit and receive WiFi signals.)
I hope I have solved your problems. :smile: :wink: