If you didn't live in or work in CT at any time during 2016, or have any CT-source income (such as rental income from a property located in CT), you would not be required to file a CT return.
However, you would have to file a non-resident CT return, showing zero CT income, in order to receive a refund of the incorrectly held CT taxes.
Your employer may have withheld CT taxes because he was not aware of your move, or because there was some delay in updating your records.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
