How to connect with insect pets?

If you mean insects as pets, then no, they do not possess any kind of emotional intelligence and therefore, cannot bond with humans. Insects do not have to rely on humans for their survival nor will they realize this even in captivity. Ants can be kept in an ant farm merely for observation and the keeper may have to feed them and they will feed but only out of their survival instincts. Insects will only recognize their own kind and are very exclusive unlike humans and other mammals. There is absolutely no way an insect will recognize its captor.