Hey @JaySeeMeRiding! Welcome to the forum. I've seen this before on other sites and on Facebook. These steps might help you out with making sure your watch stops disconnecting.
Peloton Metrics missing on Apple Watch Peloton app? Try these tips
Peloton app crashing on Apple Watch? Metrics missing from Peloton Apple Watch app? Here are some tips and tricks that will help you fix this.