Small C++ thread pool
I see a number of things that may help you improve your code.

Make sure to #include all required headers

This program refers to std::vector and std::thread but does not include the corresponding headers.  Fix that by adding these lines:

#include &lt;thread&gt;
#include &lt;vector&gt;


Check return values

The function rdx.connect() can fail.  Your program should check the return value and handle the case in which it does.

Understand your data structures

The std::vector is used appropriately except for the peculiar call to pool.empty() at the end of the code.  The purpose for empty() is to check to see if the vector is empty, not to empty the vector.  In any case, it's not necessary to empty it since it will automatically be destroyed when it goes out of scope at the end of main().

Understand the thread pool pattern

The question describes this as a "thread pool" but that's not what I see here.  It's not a finite set of threads doing some other number of tasks; rather it's one function being called once for each thread.  While this is multithreading, it's not a thread pool.  To keep from confusing yourself or others, it's useful to use common terms in the usual way.

Avoid concurrency problems

Any time multiple tasks run in parallel, we have to take extra care to assure that things work correctly.  In particular, my_cool_function() claims to "do stuff with rdx", but rdx is a single global variable.  The code for that function isn't shown, but it's highly likely that some form of locking will be required to avoid problems with concurrent access to the single global object.

Omit return 0 at the end of main

The compiler will automatically generate a return 0; at the end of main so it is not necessary to supply your own.