Question edited for clarity.
Question moved to model category.
The connector must have been on it when you replaced it? If you just noticed nothing was connected, there can only be a couple of reasons you can't find it.
1. it is tucked away somewhere out of sight. The wire will only reach so far and it has to come out of the main wiring harness.
2. The connector got loose and it got torn off. In which case, you are looking for just wires.
https://www.google.com/search?q=2002+jeep+liberty+sport+replace+downstream+o2+sensor
Sounds like an electrical connection. But which one? First start at the battery. Does it have 12.5+ volts? Does it stay at 12.5 while trying to start? If not then have the battery tested. If yes check to see if 12.5 volts is at the fuse box.
Check to make sure the battery is properly grounded to both the engine and frame.
? 7:14https://www.youtube.com/watch?v=yZWOx-zL_7w
Nov 2, 2012 - Uploaded by PrecisionLED
How to install Interior LEDs on 2010+ Jeep Grand Cherokee. ...Grand Cherokee A/C Control Unit Light Bulb Replacement (WK)
check the programming of the key that you changed the battery in
if the battery was out for a period of time , the program could be corrupted
a quality locksmith may be able to reprogram from the good key