Hi,
If you find in the datasheet at a pin description "not connected", then this really means it has no internal electrical connection.
No need for an electrical connection on the PCB - unless otherwise noted in the datasheet.
But sometimes the datasheet tells you have to connect them to GND - for noise reduction or higher ESD immunity...
Or it says to connect them to a copper plane because of thermal reasons
Or any other recommendation..
Then follow the datasheet recommendation.
But maybe you mean that you don't use some of the (internally connected) pins...this is something different...
A general rule for this situation: Don't leave any (unused) input pin floating - neither a digital nor an analog input pin.
"Not floating" does not mean you have to connect them externally - in case you can "program" the pin as "non floating" (usually with microcontrollers) then this is OK. It just needs to be set to a stable and valid logic level.
Klaus