Err, which part? Please correct if you have something to add.
The data is most certainly stored on the phone. It is collected on the watch and transferred to the phone. I thought maybe OP was concerned about data being left on the watch. I think that wasn't their concern.
Doesn't the activity app store data from a bluetooth paired HR band or the new bluetooth blood pressure cuff? I suspect that is why Apple doesn't hide it when you unpair the watch, as you don't need a watch to put data in to the app, or to view the already collected data.