The connection works when both devices (the goggles and the watch) are out of the water at the same time. You can ensure the best connection possible by following these recommendations:

• change the display orientation of the goggles to match which side you breathe when swimming.
• wear your watch on the same side that you breathe when swimming, i.e. if you breathe more on your right side, wear the watch on your right wrist. If you breathe bilaterally (on both sides), you can wear the watch on either wrist but, in this case, the watch should be worn on the same side as the goggles display. 
• swim freestyle. If you swim with another stroke type, the connection will be minimal or may not work at all. 
• wear the watch outside of your wetsuit (if you're wearing one).