I cannot connect an iPhone 5 to iTunes 11.4 running on Mas OS X 10.6.8. It says that I need the to download the latest version of iTunes. It is already loaded.

ios9 require

System Requirements

Apple ID (required for some features)

Internet access⁸

Syncing with iTunes on a Mac or PC requires:

• Mac: OS X v10.8.5 or later
• PC: Windows 7 or later
• iTunes 12.3 or later (free download from www.itunes.com/download)

you can complain here

http://www.apple.com/feedback/iphone.html

To further explain what Rudegar said:

iOS 9 requires a current version of iTunes. The current version of iTunes is 12.3.2. iTunes 12.3.2 requires at least OS X 10.8.5.

So, to communicate to your iPhone, your Mac needs at least OS X 10.8.5 (current is El Capitan OS X 10.11.3).