I'm on Android 7.1.1 and that setting isn't there.
The page after the gear icon only has Saved Networks, Network Notifications, Auto Network Switch (that's for Wi-Fi to data and back) and Keep Wi-Fi On During Sleep.
I don't know if it means it's buried somewhere else or it behaves like it should.
Edit: it's in Location (which I keep off), the 3 dots menu, Scanning. Wi-Fi Scanning and Bluetooth scanning, both are off maybe because I disabled location. But would those work even with Wi-Fi and Bluetooth off?
Settings -> Wifi -> Press the gear icon -> "Scanning always available"
Same for Bluetooth, but I don't remember where to turn it off.