It depends. If you and your spouse are both full-year residents of Connecticut and you filed a joint federal return, you must generally file a joint Connecticut return.
However, it is permissible to file separately for your state return when:
both spouses are part-year residents of Connecticut or;
both spouses are nonresidents of Connecticut and only one has income connected to Connecticut sources
both spouses are part-year residents but have different periods of residencies
There may be other times when the spouses are allowed to file separately in Connecticut as well, but these are the most common.