I just tried to connect my Backbeat Fit BT headphones to my iPhone 6P and Watch at the same time, but it did not work. As soon as I pressed the connect button on my 6P, the headphones would disconnect from the Watch and connect to the iPhone. When I pressed the connect button on the Watch, they would disconnect from the 6P and connect to my Watch.
If I turn off the BT headphones and then turn them back on, they connect with the last known device. My Bose BT speaker works the same way, but I wanted to confirm it with the Backbeat Fits.
I am not sure if the OP's BT headphones work the same, but I now know mine will only connect to one of my devices at a time. This makes sense, since I doubt I would want to hear music playing from two devices at once, anyway.
TxWatch