The Fermi-LAT revealed that the census of the gamma-ray sky is dominated by blazars. Looking for a possible connection between radio and gamma-ray emission is a central issue for understanding the blazar physics, and various works were dedicated to this topic. However, while a strong and significant correlation was found between radio and gamma-ray emission in the 0.1-100 GeV energy range, the connection between radio and very high energy (VHE, E>0.1 TeV) emission is still elusive. The main reason is the lack of a homogeneous VHE sky coverage, due to the operational mode of the imaging atmospheric Cherenkov telescopes. With the present work we aim to quantify and assess the significance of the possible connection between high-resolution radio emission, on milliarcsecond scale, and GeV-TeV gamma-ray emission in blazars. For achieving our goal we extract two large and unbiased blazar samples from the 1FHL and 2FHL Fermi catalogs, above 10 GeV and 50 GeV, respectively. To investigate how the correlation evolves as the gamma-ray energy increases, we perform the same analysis by using the 0.1-300 GeV 3FGL gamma-ray energy fluxes. When we consider the 0.1-300 GeV gamma-ray energy range, we find a strong and significant correlation for all of the blazar sub-classes. Conversely, when we consider the gamma-ray emission above 10 GeV the correlation with the radio emission vanishes, with the exception of the blazar sub-class of high synchrotron peaked objects.