We support Apple watches either over WiFi or when connected to an iPhone via Bluetooth, but not when using it without a phone sadly.
If you went for a run and left your phone behind then it will still work, but you'll just need to make sure you've downloaded any music or podcasts before leaving.
We're working hard on getting Apple watches supported so you'll be able to use them on their own without being connected to an iPhone but at the moment we don't have exact dates for this.