QC 35 paired with MacBook and iPhone simultaneously audio stops
If your Bose QC35 headphones are simultaneously connected to your MacBook and iPhone, then whichever device is sending an audio signal through to them will be heard in the headphones. 

Now, pausing iTunes on your MacBook only pauses iTunes, it isn't going to pause any other audio - so if your headphones are connected at the time then any other audio will still be heard on your headphones, not on your internal MacBook speakers.

If what you want is for sound effects to not play through your headphones, then you can configure your Sound preferences (System Preferences > Sound) so that sound effects play through your internal speakers, even when your headphones are connected via Bluetooth.

Hope this helps, but if I've misunderstood your problem, perhaps you could clarify your question. 

Reset and pair again

Another option you could try is to full reset your bluetooth device list and start again. To do this:


Slide the power switch to the Bluetooth symbol and hold it there
After about 10 seconds you should hear "Bluetooth device list cleared"
Now delete your headphones from the Bluetooth list on your MacBook and iPhone
Pair your headphones again, but only to your MacBook
Use your headphones with your MacBook for long enough to feel your issue is resolved
When satisfied, pair your headphone to your iPhone
Test to see if the behaviour is now what you expect between both devices


NOTE: I have always found that there are random issues like you're experiencing when multiple devices are simultaneously connected to Bluetooth headphones. For me, I no longer do this - but hopefully you have more success.

Bose Support

It may be worth you checking with Bose Support. I remember reading somewhere that these headphones can have their firmware updated - so perhaps Bose could shed some light on the issue you're having or whether or not there is an update available.