What happens when you walk out of range from iPhone / Macbook Pro with bluetooth headphones?
SHORT ANSWER

In a nutshell, when I'm out of range the music does not start playing through the speakers of the connected device.

LONG ANSWER

I own a pair of Bose Bluetooth headphones that I've been using with an iPhone, iPad, MacBook Pro and an iMac. I've had these for about 15 months and have been very happy with them.

The pair I own maintain a charge for about 7hrs and are able of being paired with 8 different devices. They can also be connected to two devices at the same time!

Now that I've provided that context, my comments below will make more sense. 

If I connect my Bose Bluetooth headphones to my iPhone for playing music they work great. If I move beyond a certain range, the music is no longer heard on the headphones, but as far as the iPhone is concerned the music is still playing. During this period, the music is not heard from the iPhone speaker. If I move the headphones further out of range so that the connection is totally lost, then the iPhone stops playing music altogether (i.e. the pause button becomes a play button again).

However, I have had another issue that may or may not be relevant in your case. I also use my headphones for long phone calls when I work at home (usually 1 or 2 days per week). This works fine, however, if I happen to have another device within range that is also paired to my headphones (remember they can be paired to 8 devices, and connected to two devices simultaneously) then that other device may connect to my headphones. Once that happens, if I get a notification or if the other device was already playing music or a video, then this causes some sort of weird interference with my call. This interference was only happening when I was on a call, not if I was using them just to listen to music.

Now, this issue may be peculiar to my set up as there are lots of variables involved, such as:


the model and specs of headphones
the model and specs of all the paired devices
how many devices you've paired
whether these devices are in range
what these devices are doing at the time


In my case, once I figured out what the problem was, I chose to 'forget' my headphones from the other devices and now only pair/connect to them on my iPhone (as that's what I use the headphones with for 95% of the time). And if I need to connect them to another device for a while, I just connect them then. This has worked very well for me, as I rarely need to use them with another device. 

I hope this helps!