This happened to me today for the first time and I think I can explain why.
Scene: My wife had gone out in her van a bit earlier. I walked into the bedroom and my iPhone 6+ was locked and playing music through its built-in speakers. I did not turn it on. I confirmed that my wife did not turn it on. Puzzlement ensued, including reading many complaints of this behaviour.
Explanation: my iPhone is paired with many devices, including my wife's van. Yesterday I was listening to my iPhone's music in her van. I have noticed that the pairing process is at least two steps after the audio system comes on: (1) the iPhone starts playing music through its speakers, then a couple of seconds later, (2) the music switches to the van's speakers (2015 Sienna). I think what happened is that my wife started the van downstairs, within range of my phone, which started the pairing process. Music started playing. Then she drove away, possibly before the switch-over to the van's speakers.
The iOS software should probably be a little smarter in that the process of pairing and playing should be all-or-none.