As revealed by the Fermi-LAT, blazars represent the dominant population of γ-ray emitters. An essential step for understanding blazar physics and the emission mechanisms is the investigation of a possible connection between the observed low- and high-energy emission. A number of works report on the existence of a significant correlation between radio emission and 0.1-100 GeV γ rays. How does this correlation evolve when very high energy (VHE, E > 0.1 TeV) γ rays are considered? The possible radio-VHE emission connection is still elusive mainly because of the lack of a homogeneous VHE sky coverage. In this work we explore the connection between the parsec-scale radio emission and GeV-TeV γ rays by using two unbiased blazar samples extracted from the 1FHL ( E > 10 GeV) and 2FHL (E > 50 GeV) Fermi catalogs. For comparison, we perform the same analysis by using the 3FGL 0.1-300 GeV γ-ray energy flux. Overall, we find out that there is no significant connection between radio and γ-ray emission above 10 GeV for all the blazar sub-classes with the exception of high synchrotron peaked objects. Conversely, when 0.1-300 GeV γ-ray energies are considered, a strong and significant correlation is found for all of the blazar sub-classes. We interpret these results within the context of the blazar spectral energy distribution properties.