I will repeat myself for the OP's benefit. After this, I'm just going to sit back and watch for entertainment.
You can claim you've turned BT off all you want. Your watch is telling you otherwise.
See that green phone icon in the upper left corner? Means it's still connected to the phone via Bluetooth, whether or not you think your phone's bluetooth is "off."
Therefore, bluetooth not off.
You can claim you've turned BT off all you want. Your watch is telling you otherwise.