I had 6 existing slicers connected to 4 pivot charts. I created a new pivot pie chart and want to connect 5 of the 6 existing slicers to it but I can't do so. The only thing I can do is create 5 new slicers which I don't want to do. 
As can be seen, there's no option to filter connections. I am doing a course on EdX "Introduction to data analysis using Excel" and this is a part of the lab exercises.
That is because we are using different sources of data. Check the other pivots and see the data source, then connect it to the same data sheet
PS: The data may be the same but sheets may be different
So first, I think you need to go to your slicer and unlink all of your pivot tables. Then, make sure each pivot table draws from the same dataset. Once that's done, go back to your slicer, go to report connections, and select back the pivots you want to include. I think the new pivot should be an option at this point.
The problem I had was that I had updated data to add to the dataset (which was linked to a few pivot tables, which were linked to a slicer), but it wouldn't let me edit the dataset while the pivot tables that used it were connected to the slicer. Taking advice from these comments, I went back to each of my pivot tables, disconnected their filter connections, and then changed each of their datasets to include the new data. I was afraid I'd have to make a new slicer, but the existing slicer now had the option to connect back to all the pivot tables that had been disconnected, since they had the same dataset. It seems to work so far.
This worked for me: Making sure that the same data range is selected for both pivots which the splicers are connecting to.
