UDP is a connectionless protocol. What exactly do you mean by "disconnect the client" when there is no connection?
ps Are you thinking of the connect method in DatagramSocket? - that just simplifies the syntax for sending messages by pre-determining the addresses. From the server end you can ignore that. If you want, for some reason, the client to execute a disconnect() then I think you will have to make the server send a request to the client for the client to "disconnect". However, even if you do that the client can still send datagrams to the server, so if the intention is to prevent further messages from the server you will have to implement some kind of filter on the messages that he server receives.