That is the wire from the exhaust temperature sensor. If it's unplugged it means the previous owner removed the catalytic converter and installed a "D plate" along with a chip to prevent the exhaust temp light from coming on. Which is a good thing since these cats are well known to fail and cause many problems up to and including top end failure.
In fact the non US market GPRs came with the D plate from the factory.
I have the same wire disconnected but swore it was attached to something.I was driving the ski recently and the warning chime started ringing.I docked and started browsing in the bay and found this laying about,Yama do you know where it go's to directly by any chance?I pull up electrical diagrams and they don't show.