Voltage Regulator circuit

I am trying to power Bluetooth module and the Arduino using a 9V battery. So tried to use a voltage regulator (KA7805) with 25volt 100miro farad and 63V 1 micro farad capacitors. I checked the circuit connecting these components using multimeter, it showed 5.06V as the output. But the problem comes when I connect the Bluetooth module to this output, which turns off after quickly. I checked the voltage at the bluetooth which is reducing quickly from 5V-2.5V in a matter of seconds and since the operating voltage of Bluetooth module HC-05 is 3.6V-7V, it turns off. I am not clear why this circuit behaving this way. Same output when I connected to the Arduino, it works seamlessly. Please let me know what are the mistakes that I need to rectify for this work. Thanks in advance

Without knowing your circuit it is a bit hard.

But I simply guess the problem is your battery.

A 9V battery does not really provide much power, in fact less (m)Amps than you get from AAA batteries.

You need around 7V for the regulator to work properly, with the adde load you battery voltage might just drop below that - confirm with a voltmeter directly on the battery.

Maybe a step down converter works better but it still leaves the battery as the weak link.
How much power is drawn when Arduino and BT module are active?