[but in this case when you will share your link to facebook then it will show an error. So you can also try by setting UTF-8, then you must follow the last step..]
Now write bengali in Posts with avro or any unicode keyboard software. It will make you able to make wordpress post in Bengali.
Last step: Also in your WordPress directory find wp-config.php find
define('DB_CHARSET', '');
here you should replace like the following example
define('DB_CHARSET', 'utf-8');