Hi @Geethesh  , Since HC05 is Interfaced with Serial (UART), you can check whether it connected or not in the Serial.available() function call.
if (Serial.available() > 0) { // Checks whether data is comming from the serial port
  data = Serial.read(); // Reads the data from the serial port
}
else {
  // Write what you need if serial is not connected 
}
full Implementation .
#define led 13
void setup()
{
  Serial.begin(9600);
  pinMode(led, OUTPUT);
}
void loop()
{
  if (Serial.available() > 0) { // Checks whether data is comming from the serial port
    data = Serial.read(); // Reads the data from the serial port
  }
  else {
    ledBlink();
  }
}
void ledBlink()
{
  digitalWrite(led, HIGH);
  delay(100);
  digitalWrite(led, LOW);
  delay(100);
}
All the best .