Maybe this is a well know result, however, I could not find it. Before stating it, let me write here a well know result (at least for me)
Assume that $\Omega\subset\mathbb{R}^N$ is a open domain and $f:\Omega\to\mathbb{R}$. If there is constants $L>0$ and $\alpha>1$ such that $$|f(x)-f(y)|\leq L |x-y|^\alpha,\ \forall\ x,y\in\Omega$$ then, $f$ is constant in each connected componente of $\Omega$.
The above result can be proved, for example, by showing that $\nabla f=0$ and then we join points in the same connected component by a continuous curve.
Now my question is:
Assume that $\Omega\subset\mathbb{R}^N$ and $f:\Omega\to\mathbb{R}$. Suppose that there is constants $L>0$ and $\alpha>1$ such that $$|f(x)-f(y)|\leq L |x-y|^\alpha,\ \forall\ x,y\in\Omega$$ Can we conclude that $f$ is constant in each connected componente of $\Omega$?
Maybe it is necessary to add the hypothesis that each connected component of $\Omega$ is pathwise connected?
Remark: Note that in the question, $\Omega$ does not need to be a open set. It is now any set.
Counterexample
As usual, studiosus is right: the answer is negative. A natural parametrization of an arc of the von Koch snowflake gives a topological embedding $g:[0,1]\to \mathbb R^2$ such that $$|g(x)-g(y)|\ge C|x-y|^{p},\quad p=\frac{\log 3}{\log 4}$$ for all $x,y\in [0,1]$, with $C$ independent of $x,y$. The inverse $f=g^{-1}$ is a continuous map from a curve to $[0,1]$ which is Hölder continuous with exponent $1/p>1$.
More generally, for every $p\in (0,1)$ there is a topological embedding $g$ of $\mathbb R $ into a Euclidean space such that $$C |x-y|^p\le |g(x)-g(y)|\le C'|x-y|^{p}$$ for all $x,y\in\mathbb R $. This can be constructed directly, or obtained as a special case of Assouad's embedding theorem. The inverse of $g$ is Hölder continuous with exponent $1/p$ which can be arbitrarily large.
Positive result
To conclude that $f$ is constant, you need an additional geometric (not just topological) assumption on $\Omega$. It suffices to assume that $\Omega$ is quasiconvex (there is $C$ such that every two points $x,y\in \Omega$ can be joined by a curve of length at most $C|x-y|$).
Here is a weaker assumption: for every $x,y\in \Omega$ there is a connected set $E\subset \Omega$ that contains both $x$ and $y$ and has Hausdorff dimension less than $\alpha$.
Proof. Given $x,y\in\Omega$, take $E$ as above. The behavior of Hausdorff dimension under $\alpha$-Hölder maps is well known: $\operatorname{dim} f(E)\le \alpha \operatorname{dim} E$. Hence $\operatorname{dim} f(E)<1$. On the other hand, $f(E)$ is a connected subset of $\mathbb R$, i.e., either a point or an interval. Thus, $f(E)$ is a point, and $f(x)=f(y)$. $\quad\Box$