"Key not detected" message on dash

I have a 2015 base model. I just got a brand new key fob from the dealer today.

I was parked outside of a store. I had just gotten in my car and realized I left something inside. I ran back into the store. I left the car running. I was gone for less than 2 minutes. When I got back in the car I threw it into drive and took off pretty quickly because I was in a rush. Immediately, the dash started saying "key not detected" while I was driving out of the parking lot. It eventually disappeared off the dash.

Is this normal? Did I hop in the car too quickly and change gears for the car to realize the key was in proximity? My key fob is always on the front of my pants on a key ring.

It was above freezing temperatures if that matters. I believe it was around 40°F.