I do not think there is anything you can do about it. The same thing happens to me every time I remove my Note 4 from my car dock. If there is an a way to fix it I want to know.
I don't have a car dock that puts the phone into dock mode, but I use my OEM desk dock all the time. My Bluetooth has never turned off when I remove it from the dock, so you do have a problem of some kind.