Sometimes when you burn a new feed or change the address of an old one in FeedBurner, it displays an error connecting to the URL: unknown.
Validating the same feed feed says it is valid.
The reason for such behaviour may be the lag FeedBurner updates the DNS. Since you’re burning a new or changing and old feed, your site is probably brand new or just moved. Allow some time for the DNS to propagate, and then retry burning the feed. It should be okay now.