The PX4 has an auto shut-down feature designed to save battery life when the headset is not in use for a long period of time.
The headset always has a running "timer" in it which is listening for (a) audio from your game console or (b) input from the headset's microphone. Any time it picks up either game audio or mic audio, the timer will reset.
If the timer does not detect game audio or mic audio for 4 minutes, the headset will enter its auto shut-off mode. It will issue a warning beep four times (once every 30 seconds). If it still has not picked up any audio through its game channel or from its microphone in that time, it will turn itself off.
This means that after 6 minutes of receiving no audio, the headset will turn off. If you forgot to turn it off after a long day of gaming, you're only wasting 6 minutes of battery life instead of an entire night's worth!
If you want to prevent auto shut-off, all you need to do is tap or blow into the mic when it starts issuing the warning. The sound from doing so will reset the timer and give you a few more minutes. The best way to prevent auto shut-off is to simply use the headset to hear your game's audio track!
If you prefer to keep the mic boom removed while using the headset, another way to prevent auto shut-off is to turn up the volume at the source. To do this, use the volume controls for the particular game you're playing, as well as the volume settings of the game console itself. If you're using your headset to watch TV, turn up the volume using the controls on your cable box. This should bring the audio signal above the auto shut-down threshold.