I saw some projects with DHT11, some connect it with analog pin, others connect with digital pin.
Is there any difference / advantage connecting to the analog?
The DHT11 is a digital component with its own digital communication protocol.
Analog pins can be used for either analog input or digital input and output.
You can use a digital device like the DHT11 on any pin, whether it is labelled analog or digital (except on a couple of boards which have a few analog-only pins).