What is the source of the music?  Is the source remaining in your home or are you taking it with you? i.e. Your phone...

@Osman65112 

Sorry, but settings don’t care anyway, if audio data is being streamed directly from a device to Sonos (e.g. via airplay) and the device leaves the network. 
Just for Spotify Connect that could be an issue. 
Using the standard Sonos playback via Sonos app you leave the network or even switch of the mobile, because it’s just a remote and if Sonos already is playing music via direct stream, it will keep on until network connection between speaker and router would be lost. 

@Msbrand5

Maybe you use some smart home automatics for Sonos?

There are for example automatics that can control Sonos (for example stop playback) depending on network connection or GPS position of your mobile device. 
Or are you using Spotify direct control? Therefore the Spoti option „just control devices within the same network“ has to be  set off, if you want Spotify to keep on playing after your mobile left the home network. 

Use the Sonos app to play your music instead of AirPlay.

(Note: rampant assumptions made given the lack of information in the original post).

And you know what happens when you assume! 

 

Thank you all. I will try both suggestions. 

I play music through Sonos app using SoundCloud on iPhone. I leave with phone of course and it plays all day.

The key thing about using the Sonos app is that you’re not playing through the controller. What is happening is that you’re telling the speakers where to get the stream. That way, whatever device the controller is on can disappear, but the Sonos speaker system will still be working. 

Thank you all. Will def try through SONOS.