Are you trying to rotate the bones in Edit Mode or in Pose Mode? From the image it seems that you're trying to rotate them in Pose Mode, in which case:
First, you need to set the Transform Center to be each individual bone:
https://i.imgur.com/t4zBZu0.png
Then you need to set the Transform Orientation to use the bone's local axes:
https://i.imgur.com/fnk7LBw.png
Then select your bones, press R to start the rotation then press Y to make the rotation only around the Y axis(parallel to the bone), then press Y again to make it so each bone is rotated individually.