A reference: Steinberg, Torsion in reductive groups, Advances in Math. 15 (1975), 63–92, Corollary 3.11. 

In positive characteristic: *loc. cit*, Theorem 3.14. 

See also:
https://mathoverflow.net/questions/307465/connectedness-of-centralizers-of-semisimple-lie-algebra-elements