If you are creating a web application, for example, via MVC, check the AttachDBFilename in web.config for characters such as |.
I had the same problem and could not fix it by deleting the connections from Server Explorer.
I hooked up a visual studio debugger to visual studios.
CLI exceptions are turned on, and only my code is turned off.
Then I saw a hidden exception.
The wizard threw an exception with the message " Invalid Character in Path " in System.IO.Path.CheckInvalidPathChars(string path, bool checkAdditional).
The path value is "|DataDirectory|\\aspnet-Mvs4Dummy1-20140402113853.mdf".
I realized that this was a database that visual studios automatically created with my MVC application and that the offensive character was probably the '|' character .
So, I searched for Grep in my directory and found that it was stored in my web.config in this apparently unsupported format.
I changed the entry to the full local path and the wizard stops disappearing.
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