This is the dreaded sign that tells you your i Phone wasn't restored with the backup.
There can be a few reasons for this to happen, most notably (and hopefully) a problem with i Cloud servers.
This process occupies both devices, so make sure you choose a time when you won't need to use your current device for several minutes.
Learn how to restore your Apple Watch from a backup and pair it with your new i Phone.
We generally recommend an i Tunes backup whenever you are upgrading/updating your i Phone/i Pad but given the ease with which one can deal with i Cloud backups, most people prefer this over the manual i Tunes way.