These are the steps to reproduce this issue:

1- From Server Explorer, open a data connection (I am using SQL Server)
2- Double click on any table to show the data
3- From the "File" menu select "Save As" and save file (dtq extension is assigned by default)
4- Close .NET
5- Re-Open .NET
6- Try to open the dtq file you saved.

Thank you for your time.