Can’t tell exactly what’s going on without more information.  However, your phone’s connection to wireless headphones (likely through bluetooth) is not related to the phone’s WiFi connection to Sonos.  Also, with your headphones, audio is streaming through your phone.  With Sonos, the audio streams directly to your speakers.  The phone is only there to control the audio, similar to your TVs remote.  So yes, the music on Sonos would continue even after your phone is removed from WiFi...if that’s what you were saying.

Just a thought, are you you using the Spotify app to control Sonos and your headphones?

yes, i use Spotify to control Sonos at home, however it will still connect to Sonos when i away from my house….

I believe that this is due to Spotify Connect. To stop this access available devices within the Spotify App and deselect your Sonos device.