What do you mean by "work"? It will still keep time, track your heart rate, track your activity. Any messages or calls received by the phone will be received by the watch. The workouts app will still track workouts. Alarms will work, the timers will work, the stopwatch will work.
Without data, weather info will not update, and you will probably not be able to use the maps app for navigation. If your phone doesn't receive mail or iMessages, your watch won't, either.
It is easy to test - on your iPhone, settings / cellular, and toggle "cellular data" off (and turn off WiFi). See what the watch will and will not be able to do.