The answer is no. I will construct a connected subset $S\subset \Bbb{Z}^2$ without arbitrarily long arithmetic progressions. Since the grid is locally finite, $S$ must contain an infinite path $P\subset S$ (see: Konig's lemma), which also will not contain arbitrarily long progressions.
By a result of Cassaigne, Currie, Schaeffer, and Shallit (https://arxiv.org/abs/1106.5204), there exists an injective "Lipschitz function" $f:\Bbb{Z} \to \Bbb{Z}^2$ so that the image of $f$ that lacks arithmetic progressions of length $4$ (this is perhaps not immediately obvious from the language in their paper, but I will explain in a moment).
Given $f$, with Lipschitz constant $L$, the set $S:= \{(x,y): |(x,y)-f(n)|\le L \text{ for some }n\}$ is a connected subset of $\Bbb{Z}^2$. Moreover, $S$ can be covered by finitely many translates of the image of $f$, meaning it has a finite coloring lacking $4$-APs, meaning $S$ cannot contain arbitrarily long progressions (by van der Waerden's theorem). This completes the proof, modulo justifying the existence of $f$.
Existence of $f$: In the language of Cassaigne et al. they show there exists some function $F:\Bbb{Z}\to \{0,1,3,4\}$, so that for any three consecutive intervals $I_1 = \{i_0,\dots,i_1\},I_2 = \{i_1+1,\dots,i_2\},I_3=\{i_2+1,\dots,i_3\}$, we either have $$|I_x|\neq |I_y|\text{ or }\sum_{i\in I_x} F(i)\neq \sum_{i'\in I_y}F(i')$$ for some $x,y$. We then take $f(n) := (n,\sum_{i=1}^nF(n))$ to get our $f$.