Apple Music stops playing when screen is off

I noticed that when I play a music on High-Ress Lossless, the music will like ‘gone’ when my phone is asleep. When I wake the screen, the music continue, but not from where it left off.

For example, if the screen is asleep for 1 minute, when I wake the screen, it will continue 1 minute into the song. The song is not pause or stop. Just the part during the screen is asleep just, silent.