Hi, welcome to talk3G. Can you explain a bit more detail please?

Normally with Bluetooth either end of the connection can give it up. So when you shut down your Sat Nav the actual Bluetooth connection will stop. But the Bluetooth icon may stay lit on the handset indefinitely, where it will be broadcasting its presence. By default that is how Bluetooth works. You can usually set BT on the mobile to be "invisible" or not broadcast its presence, in which case the BT icon will usually switch off once a connection is finished with.

Its going to be a matter of trying a few of the BT options in the K800i to see what works best for you.