Whilst I can't say why that is happening, the following steps may help, having resolved the same issue for other users:
If you have not yet done so, update your iPhone and Apple Watch to the latest software, starting with your iPhone:
- Update the iOS on your iPhone, iPad, or iPod touch - Apple Support
- Update your Apple Watch - Apple Support
Close the Messages app on your iPhone and then restart both your iPhone and your Apple Watch:
- Double-click the Home button, then swipe up on the Messages app preview.
- Turn both devices off together, then restart your iPhone first:
If the issue persists, next unpair and re-pair your Apple Watch again:
- The Watch app on your iPhone takes a backup of your watch automatically when unpairing via the app.
- Initially choose to Restore from Backup during set up (most data and settings will be restored, with some exceptions, such as Apple Pay cards, passcode).
- If the issue persists, consider instead unpairing and setting it up as a new watch.
- Unpair your Apple Watch and iPhone - Apple Support
- Set up your Apple Watch - Apple Support
If the issue then still persists, then I suggest that you contact Apple Support (mail-in service may be available, if required), make a Genius Bar reservation or visit an Apple Authorised Service Provider for assistance: