Yea unfortunately it's a Bluetooth problem. Ideally someday soon the range will get better on new headphones or they'll adopt a new wireless connection technology. There are a lot of great options for keeping your phone on/around you when you're at the gym though, and that will guarantee you can use your watch to manipulate what you're listening to. One option is a flip belt:
https://flipbelt.com
Certainly more discreet than a fanny pack and more comfortable/secure than a shorts pocket.
I have about a dozen athletic shorts with zippers. Perfect for activity while securing my iPhone. I'm no longer using a case on my 6 Plus and honestly even while doing the elliptical I don't notice the huge phone in my pocket.
So I guess I'll just live with keeping my iPhone on me as I workout.