Here's my attempt:
Suppose $C_a$ is not closed, so there is a limit point $x$ not in $C_a$. The closure $\overline{C_a}$ is a closed set and contains $x$. If $C_a$ is a connected set then so is $\overline{C_a}$, then $C_a$ cannot be the set that contains all $b \in X : b \sim a$?