There are microphones outside and inside of the ear cups, these are used to help the ANC figure things out. For example, if a new noise is introduced (like the engines of a plane getting louder), the microphones outside of the ear cups will pick that up and the microphones inside of the ear cups will make sure the noise is being cancelled out. You're changing the way the audio and ANC are being perceived by the inner microphones when you take the headphones off. It's completely normal and all headphones (with this much ANC) do the same.
That's of concern given the amount of smart Bluetooth devices out there (watches, fitness bands, etc.). That's evident enough that Sennheiser is still having issues and hasn't thought things through. They're worlds better than the Momentum 2.0's (which would stutter just by looking at them) but things are still problematic if other Bluetooth devices interfere. They still aren't in the same class as Sony, Bose, or even Beats (with Apple's W1 chip) and that's a shame for wireless headphones that are so expensive. Maybe the switch to Bluetooth 5.0 (and a higher class) will help them.
FYI only 1 review had that problem. Among the 100 reviews on Amazon, only 1 had Bluetooth problem and a couple who had difficulty pairing devices.