Supposedly the Apple Watch will always use the most battery efficient method of connecting, so bluetooth to iPhone if in range, then wifi if no phone in range. Then cellular if no wife & no phone. And the other options connectivity are shot down while it's on the more efficient method (so it won't actively seek wifi networks if it's connected to a phone, etc).
I can't point to a specific document that says that (although I've seen this discussed many times here on the forums), but I do think it makes intuitive sense, as Apple tries to pack as much battery life as they can into the watch, without making it any thicker, and the cellular connection probably uses the most (or second most) battery life of all the battery drains in the watch.