When I try to listen to music on my Apple Watch it tells me to connect to a Bluetooth device. I don’t want to do that I want to listen to it through the watch.

Hi Imtp20,

The article Play music on Apple Watch provides complete details related to playing and listening to music on an Apple Watch. On that page is the following:

"After you connect Apple Watch to Bluetooth headphones or speakers, open the Music app on your Apple Watch, then do any of the following:

• Play music on your Apple Watch: Turn the Digital Crown to scroll through album artwork, then tap a playlist or album to play it.
• Use the Apple Watch app on your iPhone to choose which songs to add to Apple Watch.
• Play music from iPhone (Bluetooth pairing not required): Scroll to the top of the screen, tap On iPhone, then tap a playlist, artist, album, or song to play it.
• Play music from your music library: Tap Library, then tap a playlist, artist, album, or song. To play music downloaded to your Apple Watch, tap Downloaded, then choose music.
• Request music from Apple Music (Apple Music or Apple Music Voice subscription required): Raise your wrist, then request an artist, album, song, genre, or portion of a song lyric." (emphasis added)

While you are able to control music playback or download and play tracks on the Apple Watch, you must first use Bluetooth speakers or headphones to listen to those. The built-in speaker can only be used for specific audio as described in Connect Apple Watch to Bluetooth headphones or speakers "You need Bluetooth headphones or speakers to listen to most audio on your Apple Watch (Siri, phone calls, voicemail, and voice memos play through the speaker on Apple Watch)." (emphasis added)

Regards.