Also, you may presently have an activity paused in a third-party fitness app (such as Strava) on your watch. If so, end the activity in Strava on your watch (not your iPhone).
Otherwise (if the Workout icon remains shown on your watch face even after ending a paused activity), it may help to temporarily turn off Strava's ability to share (write) data to the Health app on your iPhone:
- On your iPhone, in the Health app: Sources > Strava > under "Allow Strava to Write Data", turn off Heart Rate.
- Enable the setting again before next recording a workout with Strava.
To prevent this issue from happening again: for future workouts, finish and save your activity from the Strava app on your watch, rather than from Strava on your iPhone.