The Irishman came on at the break and helped inspire a revival by his side, but the visitors held firm after Ollie McBurnie had given them the lead midway through the first half.
Connolly said: “We didn’t start the game well and I’m not too sure what went wrong in the first half but the second half was a lot better by us and in the end, I thought we deserved something.
“It’s nice to be fit again and playing but I am gutted that we lost the game, I’m not too sure what was lacking but we were really pushing at the end.
“The manager just wanted me to make runs forward and work hard for the side to try and create some chances, it’s just disappointing we didn’t come away with anything.”
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The Blades have now gone nine away Premier League games without defeat, the best unbeaten sequence by a promoted team in the top flight since Burnley in 1947 and Connolly admired their organisation and resilience.
He added: “I was impressed with them. There are a couple of lads who I know from the Irish national squad. You can see how well they’ve done since they’ve come up.
“Their manager Chris Wilder is doing a good job and it was a tough game for us but I felt we deserved something.
“We have a busy period coming up and we want to get some points on the board, we need to dust ourselves down and go again.”