Bournemouth led 1-0 at half time after a Daniel Adu-Adjei goal, before two goals in quick succession after the interval handed Brentford the lead.
The Cherries quickly drew themselves level through Harold William, but brilliant Tony Yogane goal with ten minutes to play handed the Bees the victory.
Match report:
Reflecting on the game, Connell told the Daily Echo: “Really happy with the game. Wouldn't change too much.
“The game looked how we wanted it to look. Created chances, put them under pressure with our pressing style, created openings off the back of it.
“The first goal was a great example that with Daniels fine finish off Matai's pass. We got undone by a set piece, which we know Brentford are strong at, and two great strikes.
“But in between all of that, we've had loads of opportunities, loads of good situations.
“They had to make blocks, their goalie’s made saves, could have gone either way and unfortunately we fall on the wrong side of the result tonight.”
Connell said the game was exactly where they wanted it at the break with the lead and with his side’s performance.
“We said, can we take the game away from Brentford second half?” he said.
“But their quality meant that, we're quickly 2-1 down. I didn't think we did a lot wrong, really, in the game.
“So, disappointed, of course, to concede like that, but we responded quickly because I’ve got such an amazing group of players with character that never know when to give up.
“Then we had the momentum. Of course, Brentford gained some territory as well and it could have gone either way.
“One moment of quality from them has won the game and we've had chances, but we just couldn't quite convert.
“We have to congratulate Brentford and whilst we're extremely disappointed to lose, I'm very proud of the season and more importantly, I think what it's going to do for the individuals next season.”
Connell praised the Bees, saying they were the best Category Two side that they have played this season.
“We knew that and it was nice tonight because we were at full strength almost, our guests were pretty at full strength as well,” he said.
“So it was a real close encounter and it was a proper game of football that I really enjoyed and our players will take a lot from.
“But Brentford come away with a victory and as painful as that is because we wanted to win, we respect that we were up against a really good team tonight.”