So I have a container(any kind, probably std::map or std::vector) which contains objects of a class with some network thing running in a thread that checks if it is still connected (the thread is defined inside that class and launches when constructed).
Is there any way I can make the object delete itself from the container when its disconnected or should I move the thread outside the object and use that class just to store data?
In order for the object to delete itself from the container, it will have to know which container it is in. You will need to maintain a pointer to the container in the object. You will also have to protect the container with a lock to stop multiple threads accessing the container at the same time.
I think I prefer your second solution - some managing object looks after removing dead objects from the collection. If nothing else, this will be quite a bit easier to debug and the locking logic becomes centralised in a single object.
STL containers tend to assume they're storing values; objects that can be copied and where copies are identical. Typically, objects which have threads fit poorly into that model. They have a much stronger sense of identity. In this case, you definitely have indentity - a copy of the object in a container is distinct from a copy outside.
I would have am unload queue.
When a thread notices that the connection is down it registers the object (and continer) with the unload queue tides everything up as much as possible then the thred terminates.
A separate thread is then inside the unload queue. Its sole purpose is to monitor the queue. When it sees a new object on the queue, remove it from the container and then destroy it (syncing with the objects thread as required).