"Note that connectedness is not defined for closed sets" explanation I'm learning Complex Analysis, and we are given the following definitions:
Definition. Suppose that 
$\Omega \subseteq$ C and that 
 $\Omega$ is open.
(1) The set $\Omega$
 is connected if any two points of $\Omega$
 can be joined by a polygonal
path lying inside $\Omega.$
(2) The set 
 $\Omega$ is simply connected if the interior of every simple closed polygonal
path in $\Omega,$ 
 lies in $\Omega$
 that is, if “$\Omega$
 has no holes”.
(3) The set 
 is a domain if it is connected as well as open.
Later, my note makes a remark saying:
Note that connected is not defined for closed sets, but there are questions
about closed sets being connected.  
I don't understand this, it says that it's not defined for closed sets, yet it also says there are questions regarding closed sets being connected..?  
Why is do closed sets not have connectedness defined?

Let $X$ be a topological space, e.g. a subset of $\mathbb{C}$.  Your definition of what it means for $X$ to be connected is different from the usual definition of connectedness.  However, the two definitions coincide when $X$ is open.  That is why they didn't want to apply their definition for nonopen sets.
The usual definition of what it means for $X$ to be connected is that there are no proper nonempty subsets of $X$ which are both open and closed in $X$.
Your definition of being connected is what everyone else calls being polygonally path connected.
There is also the notion of just being path connected: for any $x, y \in X$, there exists a continuous map $\gamma: [0,1] \rightarrow X$ such that $\gamma(0) = x$ and $\gamma(1) = y$.
If $X$ is any topological space, then it is connected if it is path connected, but the converse is not true.
When $X$ is a subset of $\mathbb{C}$, it is path connected if it is polygonally path connected.  But it is possible for $X$ to be path connected, but not polygonally path connected (the graph of $y = x^2$).  And it is also possible for $X$ to be connected but not path connected (the union of the point $(1,0)$ with the closed line segments between $(0,0)$ and $(1, \frac{1}{n})$ for all $n \in \mathbb{N}$).
However, all three of these notions coincide when $X$ is open.
