The equalizer functionality only works in USB and SD mode. If you are in radio or Bluetooth mode, the EQ button will not work.
This is because an EQ works by pre-processing the music files stored on your USB drives and SD cards. The latency and delays in radio and Bluetooth make them unsuitable for pre-processing.
If you have an iPhone or Android smartphone, you can either use the native equalizer settings, or use the equalizer settings in your music app.