Why did a red x appear on my watch (series 4 cellular) when the watch is connected to my phone?

I understand you are seeing a red X on your Apple Watch series 3. That indicates that your Apple Watch has lost connection with your iPhone. The resource below explains how to reestablish the connection. I've highlighted some key information here for you. Click on the links for complete details.

About Bluetooth, Wi-Fi, and cellular on your Apple Watch

If the Watch has been set up for cellular with your carrier, you may need to check with them to see why it is not connecting to the network when you leave the area of your paired iPhone. While it take take a minute to connect to the cellular network once you leave the area where your phone is, it should connect within that time frame. My Watch series 4 can connect within 30 seconds max.

If you saying the Red X appears when you leave home without your iPhone then the  Watch has lost contact with your iPhone and does not have a strong enough cell signal to function.