I had got these issues intermittently as well, with my AW5, doing Yoga on my Apple TV 4K. I actually noticed one time that while I was doing some of the moves, the back of my hand would sometimes touch or push the crown / scroll wheel on the watch (because my wrist was bending such that back of my hand would be up against the watch).
I know throughout the day, just normally, I've noticed my watch on the menu screen (with all the circles) because I've accidentally pushed the crown.
Anyways, I thought maybe that might have something to do with the disconnection / cutting out during a workout. So for the last few weeks, I've worn my watch higher up on my wrist (a few inches above my wrist) so that when I bend my wrist back, the back of my hand doesn't come anywhere close to touching the right side of my watch (worn on my left hand). It hasn't disconnected since.
Don't know if that's correlated or a coincidence, but figured I'd share just in case it helps for others.