First prove by induction on $n$ that every cell $C\subseteq \mathbb{R}^n$ is (topologically) connected.
When $n = 0$ or $1$, the cells are points or open intervals in $\mathbb{R}$, and hence connected.
For the inductive step, suppose $C\subseteq \mathbb{R}^{n+1}$ is a cell. Let $C' = \pi(C)\subseteq \mathbb{R}^n$. Then $C'$ is a cell in $\mathbb{R}^n$, so it is connected by induction. For each point $a\in C'$, the fiber $C_a = \{b\in \mathbb{R}\mid (a,b)\in C\}$ is a point or an open interval in $\mathbb{R}$, and hence connected.
Assume for contradiction that $C$ is disconnected, i.e., there is a partition $X = U\sqcup V$ such that $U$ and $V$ are both non-empty and open in the subspace topology on $C$. Let $U' = \pi(U)$ and $V' = \pi(V)$. Note that $U'$ and $V'$ are non-empty and open in $C'$, since $\pi\colon C\to C'$ is an open map, and $C' = U'\cup V'$.
For each $a\in C'$, since $C_a$ is connected, either $C_a\subseteq U$ or $C_a\subseteq V$. Thus $U'$ and $V'$ are disjoint subsets of $C'$. This contradicts connectedness of $C'$.
Now let $X$ be a definably connected set. By cell decomposition, we can write $X$ as a finite disjoint union of cells: $$X = C_1\sqcup C_2\sqcup \dots \sqcup C_n.$$
Assume for contradiction that $X$ is disconnected, i.e., there is a partition $X = U\sqcup V$ such that $U$ and $V$ are both non-empty and open in the subspace topology on $X$. Since each cell $C_i$ is connected, either $C_i \subseteq U$ or $C_i\subseteq V$. Then $U$ and $V$ are each a union of some of the cells $C_i$, and hence definable, contradicting the fact that $X$ is definably connected.