The itertools.iter_except recipes encapsulates this idea of "calling a function repeatedly until an exception is raised".  It is similar to the accepted answer, but the recipe gives an iterator instead.
From the recipes:
def iter_except(func, exception, first=None):
    """ Call a function repeatedly until an exception is raised."""
    try:
        if first is not None:
            yield first()            # For database APIs needing an initial cast to db.first()
        while True:
            yield func()
    except exception:
        pass
You can certainly implement the latter code directly.  For convenience, I use a separate library, more_itertools, that implements this recipe for us (optional).  
Code
import more_itertools as mit
list(mit.iter_except([0, 1, 2].pop, IndexError))
# [2, 1, 0]
Details
Here the pop method (or given function) is called for every iteration of the list object until an IndexError is raised.
For your case, given some connect_function and expected error, you can make an iterator that calls the function repeatedly until an exception is raised, e.g.
mit.iter_except(connect_function, ConnectionError)
At this point, treat it as any other iterator by looping over it or calling next().