That's based on recent history. In the '50s CT was whacked by a number of serious hurricanes. Carol, in particular took a path right up the Connecticut River. When we drove into E Hartford the day after, Main St was still a foot deep in water. She's why the levees are so high now. There's no reason why a sequence like the '50s can't happen again.
Here's a link from the CT Post about the major wind events since The Long Island Express in '38 (before they gave the storms names).
The rare CT hurricane is serious for those in its path. But they do a VERY small fraction of the damage seen in the Gulf states and the South Atlantic states during their more frequent storms. In total, as was pointed out before, Connecticut - over any time period measured - has FAR less loss due to weather than do many other states.
Btw, according to NOAA records, Connecticut only had one hurricane hit the state during the decade of the 1950's: Carol, which was a Category 3 at landfall.