Your issue is with Gigabyte, not Intel. Gigabyte makes the board, and the BIOS. THEIR BIOS must support the Intel processor for you to use that processor.
If you did not have F22 to use the i7-6800K processor, you will need to get a lesser processor that is supported by F2, install that processor, upgrade the BIOS to F22, then install the i7-6800K.
Contact Gigabyte for further assistance.