For an array of points, make a line between the first point, and each remaining point. Then splice the first point from the array, and repeat.

Can you please give me some hints how to make such a script that'll make the array from selected points?

Unconnected anchor points on the artboard are the first segments of individual path objects. The document.selectedItems property will return an array of all selected Items, and each Path Item contains an array of all segments of each path.

You sir, saved my day. Thank you!

Is possible to use bezier lines to connect the point?
I would to have curve line connecting the points.

tnx :)

Those are bezier curves, just with handles that have a vector length of zero. Since there's an infinite number of 'curves' that could connect any two points, you'll need to be a little more specific.