Apple watch disconnect from iPhone while phone is locked

Hello,

I have issue with connection between apple watch ultra and iPhone 13. Few months how I paired them, they worked perfectly till few days ago. Apple watch start disconnecting from iPhone while phone is locked. While iPhone is unlocked then watch is connected and no issues. I tried to unpair them and pair again, i tried to reset watch and pair again like a new watch, i tried to switch off/on bluetooth, airplane mode, reseted network settings on iphone…once when i paired watch after reseting he kept connection one day and again start losing connection when iPhone is locked.

I would like to mention that iphone run on 16.4 version and watch on 9.4.

Does somebody knows solution for this annoying issue?