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I can't imagine an external device that would be able to work out the difference between desired and undesired signals from your phone.

You could make a tiny little $5 pocket signal detector with buzzer. When idle, you get only a brief little buzz every few minutes (or maybe entirely omit notifications for any transmissions that short). When a call is ongoing, or data is being transferred, buzz continually... That would raise the veil, giving people an idea of when their phone is sending data, and how much. If it starts going full-blast when your phone is sitting around in your pocket... a big red flag!

Of course you could do this pretty well in software, too. In fact the status bar icons show all cell/wifi xmit/recv activities on some few phone models. Or you can just pay attention to your battery consumption and get nervous when it suddenly lasts a fraction as long as it normally would, because either an app has started going nuts, or your phone is now transmitting a lot more often...