A live connection does not contain data. It only contains the information that allows Tableau to connect to the database.
If you want the data too, you have to extract it. That will create a TDSX file.
Thanks for the reply @Gillespie
How can i get that information which allow tableau to connect to the database. Like
Exact loaction of data if excel file ? or Database name, user name ,password etc.
I have tried "Add to Saved Data Sources" and get the .TDE File. This file have some information regarding the data source but not describe the actual location of published data source.