I am familiar with the audit log for Power BI activities but what I am looking for is a log of access through the Excel add-in "Connect to Data".
Anyone know of a way to do this?
Do you attempt to check this information on Power BI service? If so, I'm afraid there is no such a log listing all service datasets which are connected by Excel add-in (Connect to Power BI).
If you were attempting to get data source connection information from Excel side, as I know, Office Excel doesn't create log files. I would suggest you post your question on Excel forum to confirm whether it is achievable.