If you lose a device connection during a workout, you can easily reconnect them without leaving the workout. Where you normally see the device icons in the upper right corner, typically filled in with green indicating a successful, active pairing, you'll notice the devices that are no longer paired are shaded grey.

If you click on those device icons in the upper right corner, you'll be taken to the device connection screen. From there, you can quickly and easily pair your devices again and exit the device connection screen. You'll notice you never had to leave the workout and everything is continuing to run as expected.

Here's a short, helpful video overview: