Apple Watch receiving notifications when locked and NOT on my wrist

Ive noticed that my Apple Watch sometimes chimes and receives a notification when its locked and not on my wrist. I was under the impression notifications should only go to the watch when it is being worn and is unlocked.

I have rebooted the watch by holding down the button and the crown but this behaviour comes back soon after??

 

Thanks guys, that setting is on. I have tried switching it off and back on but no luck. I have only noticed this behaviour when the phone is sitting on the desk near the apple watch. Not sure if that makes a difference.

Its annoying though as if I'm not wearing my apple watch and its in another room then I may not know Im getting notification on my phone as its remaining silent while the watch pings away in another part of the house.