HTC Desire 500 - connection lost after the screen shut down

Hi all,
My problem is - HTC Desire 500 - connection lost after the screen goes sleep. Is any way to have acces to smarphones event the screen is shut down?
Also AirDroid didn't stop - even if I point power-saving mode. On my old one phone - neo v everything was OK - if i disconet my browser, after few minutes airdroid stopped
Best regards.