Apple Working on 'Find my Watch'
Apple is working on an Apple Watch tracking feature, says 9to5Mac. This is going to be similar to the Find my iPhone feature within iCloud. In fact, it'll be pretty much identical. This will go alongside Find my iPhone, iPad, iPod touch, and Mac. This will allow you to locate, wipe, lock, and sound an alarm on the Apple Watch.
Timing for this is currently unknown. Since the Apple Watch is so reliant on the iPhone we're not sure how it will be able to provide a location if it's out of range of an iPhone. All we know right now is that Apple may use something already inside the watch, which is known to Apple as "Smart Leashing".
This may require new hardware for this to work, thus pushing off the launch of Find my Watch until the second generation Apple Watch. For now what we may get is a feature that will alert you when you go out of range of your iPhone.