If you are running a battery saver application on your mobile device, ensure that it is not set to disable the Bluetooth capability when the device goes to sleep. If your device loses Bluetooth capabilities, the Myo armband will be disconnected.
To find out if your battery saver application has this feature, or how you would customize the settings to prevent this from happening, please see the help documentation for the application or check the Google Play or iTunes app page for more details.