Can I set up auto-reply for when I am riding my bike

For Calls the Auto Reply above will send a message automatically.

"Turn on Auto-Reply" from the support document you posted from. You can use the Driving focus while you are riding your bike.

Use the Driving Focus on your iPhone to concentrate on the road - Turn on Auto-Reply - Apple Support

Beyond that, you can just ignore the message and reply when you get the chance.

Auto Reply for what exactly? Mail? Calls? Messages? 3rd party messaging app? Something else?

For Messages see the section titled "Turn on Auto-Reply" from the support document you posted from. You can use the Driving focus while you are riding your bike.

Use the Driving Focus on your iPhone to concentrate on the road - Turn on Auto-Reply - Apple Support