Unable to set up iPhone 11 via Finder on Catalina

Are both the old and new iPhones up to date? And/or running the same iOS version? For the new iPhone, are you using the chord it came with, or the old chord? No chord is going to work better with your iPhone then the one it came with. Does using a different port/adapter/chord make a difference? Is the new iPhone set up already? Or is it still in the set up process? Does the new iPhone do the same if plugged into another computer? (If possible to test), Does this also happen on a new/different administrator account? Does the iPhone disconnect like this in other Mac OS apps, (like Image Capture)? It’s tough to say what would be the cause of this, unless questions like this are answered. Once the issue is isolated to a particular device, operating system, hardware, environment, etc. then we know what to focus on. Hope that helps!

Are you connecting the iPhone directly to the computer via its cable?

Did you unlock your iPhone beforehand?

Did you do a backup of the new iPhone before trying to restore the backup?

Are both iPhones running the same or different versions of iOS?

Transfer content from your previous iOS device to your new iPhone, iPad, or iPod touch

Transfer photos and videos from your iPhone, iPad, or iPod touch 

I’m having the same issue, however for me I’m trying to set up as new device to back up my phone and my phone disappears from finder, it’s up to date and the cables are fine.

I have same issue. My iPhone 11 gets ejected after accepting terms and conditions in the Finder. I have tried changing ports. Same result. Need a solution to this issue.