Left iPhone behind alert on Apple Watch

You can only set up a separation alert from the device sharing your location. You receive an alert every time the device sharing your location separates from the device you set an alert for.

1. Tap Devices at the bottom of the screen, then tap the name of the device you want to set up an alert for.
2. Below Notifications, tap Notify When Left Behind.
3. Turn on Notify When Left Behind, then follow the onscreen instructions.
4. If you want to add a Trusted Location, you can choose a suggested location, or tap New Location, select a location on the map, then tap Done.
5. Tap Done.

See this link for further reference

Set separation alerts in case you leave a device behind in Find My on iPhone – Apple Support (UK)