So the first time I read the term I looked it up on wikipedia and this is how it's described:

A wet market (also called a public market[4] or a traditional market[5]) is a marketplace selling fresh meat, fish, produce, and other perishable goods as distinguished from "dry markets" that sell durable goods such as fabric and electronics.[9] These include a wide variety of markets, such as farmers' markets, fish markets, and wildlife markets.[13] Not all wet markets sell live animals,[16] but the term wet market is sometimes used to signify a live animal market in which vendors slaughter animals upon customer purchase,[20] such as is done with poultry in Hong Kong.[21] Wet markets are common in many parts of the world,[25] notably in China, Southeast Asia, and South Asia. They often play critical roles in urban food security due to factors of pricing, freshness of food, social interaction, and local cultures.[26]

So if there's a connotation to the term that I'm not aware of then I just don't know it, but the impression I got was that it was just a place that sold meat.