Cell systems are designed to use minimal bandwidth to transmit VOICE audio. It's not designed for the audio tones used by telephone modems.
And on top of all that, I'm not sure that your Bluetooth connection isn't trying to make a digital connection after all. And AT&T has explicitly disabled that, unless you pay for what they call "tethering".
That is correct. You will also need to download the free AT&T Communication Manager software from the link below.
http://www.wireless.att.com/businesscenter/solutions/wireless-laptop/software.jsp