Your HR strap is most likely connected to another device, usually a watch, but sometimes a head unit. Since the HRM is something you use inside and out, it will jump to connect to the last known device, which is commonly your watch. You'll want to make sure you temporarily disconnect the Bluetooth from your watch since Bluetooth is a one-to-one connection.

If your watch is in sleep mode, you will often not need to disconnect the Bluetooth, but it's a good fail safe step.