What is a connected device?
A connected device is nothing more than a device connected to something. So to say, if you take a connected motion detector, a security camera, those two devices are connected device.
In fact, they are simply composed of a simple mother board to which are attached a connectivity card either Bluetooth, WiFi... and thanks to the firmware injected within them, they can easily communicate with each other.
Below is an example of a connected motion detector device:
As you can see here below, it has a mother board, a WiFi component and a motion sensor:
and a power supply: