The late Katharine Hepburn knew the why.
Here’s a partial list of people who hail from or have chosen Connecticut as home, with place of birth or residence (when known) from Wikipedia (see a full list that includes athletes and more at the linked site):
Business people, scientists and inventors
Jefferson F Allen (Westport)
Moses Austin (Durham)
P.T. Barnum (Bethel)
Henry Alfred Bishop (Bridgeport)
Cornelius Scranton Bushnell (Madison)
David Bushnell (Saybrook)
Vint Cerf (New Haven)
Samuel Colt (Hartford)
Ray Dalio (Greenwich/Westport)
Bern Dibner (Wilton)
John Fitch (Hartford County)
Collis Potter Huntington (Harwinton)
Jeffrey R. Immelt (New Canaan)
Mary Dixon Kies (South Killingly)
Edwin H. Land (Bridgeport)
Henry Lee (Orange)
Barbara McClintock (Hartford)
J. P. Morgan (Hartford)
Frederick Law Olmsted (Hartford)
Igor Sikorsky (Stratford)
Benjamin Silliman (Trumbull)
Alfred P. Sloan (New Haven)
Martha Stewart (Westport)
Eli Terry (East Windsor)
Seth Thomas (Wolcott)
Dana White (Manchester)
Eli Whitney (New Haven)
Oliver Fisher Winchester (New Haven)
Robert Charles Wright (Southport)
Actors, producers and directors
Kevin Bacon (Sharon)
Ed Begley (Hartford)
Michael Ian Black (Redding)
Linda Blair (Westport)
Ernest Borgnine (Hamden)
Amy Brenneman (Glastonbury)
Gary Burghoff (Bristol)
Art Carney (Westbrook)
D. J. Caruso (Norwalk)
Marilyn Chambers (Westport)
Glenn Close (Greenwich)
Bob Crane (Waterbury)
Bette Davis (Westport)
Brian Dennehy (Bridgeport)
Linda Evans (Hartford)
Michael J. Fox (Sharon)
Shelley Hack (Greenwich)
Katherine Heigl (New Canaan)
Katharine Hepburn (Hartford)
Linda Hunt (Westport)
Ted Knight (Terryville)
David LaChapelle (Fairfield)
Hope Lange (Redding)
David Letterman (New Canaan)
Christopher Lloyd (Stamford)
Michelle Lombardo (Glastonbury)
Pamela Sue Martin (Westport)
Robert Mitchum (Bridgeport)
Marilyn Monroe (Weston and Roxbury)
Ellen Muth (Milford)
David Naughton (Hartford)
Kevin Nealon (Bridgeport)
Paul Newman (Westport)
Joe Pantoliano (Wilton)
Tracy Pollan (Sharon)
Anthony Tyler Quinn (New London)
John Ratzenberger (Bridgeport)
Christy Carlson Romano (Milford)
Sherrie Rose (Hartford)
Rosalind Russell (Waterbury)
Meg Ryan (Bethel)
Kyra Sedgwick (Sharon)
Tom Tryon (Hartford)
Christopher Walken (Wilton)
Deborah Walley (Bridgeport)
Bruce Weitz (Norwalk)
Treat Williams (Norwalk)
Joanne Woodward (Westport)
Authors, artists and educators
Christopher Andersen (Washington)
Joel Barlow (Redding)
A. Scott Berg (Norwalk)
Joseph Payne Brennan (Bridgeport and New Haven)
William F. Buckley, Jr. (New York City and Stamford)
Candace Bushnell (Glastonbury)
Guido Calabresi (New Haven)
Al Capp (New Haven)
Echo Chernik (Ellington)
Christopher Collier (Orange)
Suzanne Collins
John Gregory Dunne (Hartford)
Eleanor Estes (West Haven)
Edward Miner Gallaudet (Hartford)
Charlotte Perkins Gilman (Hartford)
Daniel Coit Gilman (Norwich)
Hanna Holborn Gray (New Haven)
John Frederick Kensett (Cheshire)
Charles H. Kraft (Waterbury)
Larry Kramer (Bridgeport)
Wally Lamb (Mansfield)
Ira Levin (Wilton)
Sol LeWitt (Hartford)
Arthur Miller (Roxbury)
Jacques Pepin (Madison)
E. Annie Proulx (Norwich)
Luanne Rice (New Britain)
Philip Roth (Warren)
Vincent Scully (New Haven)
Wallace Stevens (Hartford)
Harriet Beecher Stowe (Litchfield)
Dr. Benjamin Spock (New Haven)
Mark Twain (Hartford and Redding)
Noah Webster (present-day West Hartford)