Counterexample:
Consider $J_n=(\mathbb R^\times\times \mathbb R)\cup (\{0\}\times (n,\infty))$. Each $J_n$ is connected, but the intersection is $\mathbb R^\times\times\mathbb R$ which is disconnected. Basically, each $J_n$ eats away a bit more of the connection, and eventually every part of the connection gets consumed.
Edit: An edit to the question now added the condition of closed sets, which is violated by the example above. But the basic idea can still be used.
Now consider $J_n = (((-\infty,-1]\cup[1,\infty))\times\mathbb R)\cup ([-1,1]\times [n,\infty))$. It is not hard to check that those sets are closed and connected, but the intersection is $((-\infty,-1]\cup[1,\infty))\times\mathbb R$ which is disconnected.