You can still lock your device even when it's connected to a Smart Lock-approved device.
Google introduced a handy feature called Smart Lock in Android 5.0 Lollipop. When enabled, Smart Lock will prevent your device from requiring a pin or pattern to unlock your device so long as it's connected to an approved Bluetooth device or near-field communications (NFC) tag.
While convenient, there are still times when you might want to temporarily lock your device. Say, when leaving your device on the counter within arms reach of your kids.
Google thought of this and, though its a bit hidden, allows you lock your device when Smart Lock is enabled.
When viewing the lock screen, long press on the lock icon located at the bottom of the screen. A gentle vibration followed by a brief message will alert you that the device is locked. The next time you want to use your device, you'll need to enter a pattern or pin. After said unlock, Smart Lock will become active, leaving your device unlocked per your settings.