There is currently no out-of-the-box loader to support metadata harvesting from Collibra to Connect.
There is Connect SDK that allows you to write your own loaders though. Great place to start is with Alteryx Connect BYOM – “Bring your own metadata” with an SDK.
More technical documentation about the Connect's SDK is here - https://help.alteryx.com/developer/current/index.htm#Connect/Overview.htm
So far, I have seen two approaches when it comes to implementing 3rd party DG tools with Connect.
First is to do a complex loader using SDK and go for full integration.
Second is to push just a URL to the technical piece in Collibra to Connect. I.e. when people need to know more technical details about an asset, they open a link to it.
Collibra is a full-fledged data governance platform and typically contains a lot of metadata that is not interesting for business users/ analysts and LOB users. So possibly the second approach may work better.