The strait which connects the Arabian Sea and the Bay of Bengal is known as the Palk Strait. It is located between the southeastern coast of India (Tamil Nadu) and the northern coast of Sri Lanka.
Option 1: Bering is incorrect. The Bering Strait is located between Russia and Alaska, connecting the Arctic Ocean with the Bering Sea.
Option 2: Hormuz is incorrect. The Strait of Hormuz is located between Iran and Oman, connecting the Persian Gulf with the Gulf of Oman.
Option 3: Palk is the correct answer. The Palk Strait is located between India and Sri Lanka, connecting the Arabian Sea with the Bay of Bengal.
Option 4: Malacca is incorrect. The Strait of Malacca is located between the Malay Peninsula and the Indonesian island of Sumatra, connecting the Andaman Sea with the South China Sea.
Therefore, the correct answer is option 3, Palk Strait.