So? What do you want to happen, on the phone end? What do you want to happen on the Arduino end?
The ONLY way to know that the receiver and the sender are not communicating anymore is to have the sender send some data, and expect a response, every n milliseconds. If the sender doesn't get a reply, it will know that the receiver is out of range.
If the receiver doesn't get the next message n milliseconds after the last one, it knows that the sender is out of range/dead in the water/out to lunch/up a creek without a paddle.
I'm trying to make a device that vibrates when its out of a certain range, the device will be connected via Bluetooth from a mobile phone or a tablet via an APP.
If the vibrating device goes out of the range, of the Bluetooth operating range.
I want the device to vibrate.
I also want the APP to recognize the device is out of range and has lost its Bluetooth connection to the device the app provide a warning.
Yes, it is possible. Imagine that you call a friend on the phone. You talk, your friend listens. Then, your friend talks, and you listen. Then, you talk, and your friend listens.
You can tell when the phone connection is dropped, because when you quit talking, your friend does not reply in some reasonable amount of time.
To make this work, the app will need to periodically send something to the Arduino, which will have to reply.
The Arduino will need to take some action if the interval between now and the last time serial data arrived exceeds some value (vibrate).
The app will need to take some action if there is no reply in some reasonable amount of time - pop up a dialog?
How to make the app is outside the scope of this forum. Reading serial data and writing serial data is pretty simple. It's very simple if the app sends one letter, and expects a one letter response. Google "Arduino heartbeat".