Apple Watch does not presently have a built-in feature that offers audible or haptic warnings / alerts if it is taken out of Bluetooth range of the paired iPhone. When it becomes disconnected via Bluetooth, if the watch is also unable to connect to a known Wi-Fi network at that time, it will show the Disconnected icon at the top of the watch face:
If you would like to suggest that Apple considers adding Bluetooth disconnection alerts as a new feature, you can do so here:www.apple.com/feedback/watc...
However, you may find this third-party app of interest:
- Lookout – Security, Backup and Missing Device"Shows you the distance between your iPhone and Apple Watch, and notifies you if they’re about to lose connection."
- "You can now adjust the sensitivity of the Apple Watch connectivity notifications in the Settings section of your Lookout iPhone app."