Your watch will auto connect once it comes within range of the paired device. If you want to control when it connects, you can turn off the Bluetooth on your watch and only turn it back on when you want to connect.
You can go to menu and turn it off as S_amsungjae said or slide the menu down from home screen and swipe until you find the bluetooth icon. Otherwise if you want to use a watch without bluetooth, using airplane mode will do that
