A pin left open is not connected anywhere. Some pins, such as tristate output pins on logic chips, or MCU pins can be made to float by making them high impedance (programatically or via a control pin). They are still connected but have minimal effect on whatever they are connected to.
Note that an open pin is just not connected so it's always high impedance. A high impedance general purpose pin on an MCU might be high impedance only for applied voltages within the (current) power supply range plus a bit. If the power supply is removed, the high impedance may only apply for applied voltages of a few hundred mV.
The other distinction you may run into with data sheets is between NC (not connected) and DNC (do not connect). The latter may be connected internally and connecting to the pin may have adverse effects.