Cyber Threat Intelligence (CTI) is foundational to modern cybersecurity, enabling organizations to proactively defend against evolving threats. However, the sheer volume and heterogeneity of CTI data, spanning structured knowledge bases (CVE, CWE, CAPEC, MITRE ATT&CK) and unstructured threat reports, far exceed the capacity of manual analysis. The strong contextual understanding and reasoning of Large Language Models (LLMs) have driven growing interest in applying them to CTI tasks. Yet no existing benchmark evaluates LLMs in a retrieval-augmented setting with a proper evaluation harness that grants access to the heterogeneous domain knowledge sources analysts rely on in practice. To address this gap, we present CTIConnect, a benchmark for systematically evaluating retrieval-augmented LLMs across the CTI task landscape. We construct a unified evaluation environment integrating five heterogeneous CTI sources into 1,860 expert-verified QA pairs spanning nine tasks across three categories: Entity Linking, Multi-Document Synthesis, and Entity Attribution. Extensive experiments on ten state-of-the-art LLMs reveal that the cross-source semantic gap manifests differently across task categories, demanding fundamentally different retrieval strategies, and that the performance bottleneck shifts between retrieval infrastructure and evidence utilization depending on the task. Our domain-specific strategies further outperform stronger general-purpose retrieval paradigms (retrieve-then-rerank, IRCoT), showing that closing this gap requires structural interventions rather than generic retrieval improvements. These findings hold across all ten LLMs, remain consistent on the full benchmark, and stay stable under temporal splits spanning 2008-2025. Together, they provide actionable guidance for designing scalable retrieval architectures over heterogeneous CTI ecosystems.