It doesn’t “connect” to one or the other. The chan_console acts like a phone and it’s best to think of it that way. Audio flowing from Asterisk to chan_console goes to the output device. Audio flowing from chan_console to Asterisk comes from the input device. Looking at the configuration file the devices can be configured in console.conf
To speak to @david551’s comment - these channel drivers (chan_console, chan_alsa, chan_oss) really haven’t been touched in considerable years and so knowledge is scarce for them really besides what is seen in the sample config and the code.