The boss believes his side was not good enough at the back and deserved to lose the game off the back of their defensive performance.
Reflecting on the defeat, Connell said the overriding emotions were “Disappointment, regret.”
He told the Daily Echo: “When you defend like that, you deserve to lose the game.
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“We had some good spells on the ball, created a lot of chances and scored four goals. Could have scored a lot more.
“But our defending was really poor. Wasn't aggressive enough, didn't take accountability and just poor academy goals, which is what I hate. And tonight we were just not good enough in our own box.”
Asked why that was, he said: “People not doing what they're told to do, especially on set plays.
(Image: Robin Jones/AFC Bournemouth)
“People not necessarily being able to do it, which is a problem. And the players have given everything, they always do. But ultimately our defending was poor and it's cost us.”
He was happy with aspects of their game going forward as the side went into a two-goal lead in the first half, but he was frustrated that the Baggies were allowed back into the tie.
“We could have scored a lot more goals,” Connell said.
“At 2-0, we started the game ever so well, pleased with that spell, but I've felt it before.
“When you score early sometimes it's going to be a comfortable night and I know it wasn't going to be that way and I wanted us to go and really take the game away from West Brom.
“But we have to give them credit as well for staying in the game and that we obviously gave them too many opportunities to get back into the game and it's a huge opportunity missed tonight.”
Connell continued: “Everyone says that in football, don't they, that they want to be ruthless and we weren't at that point, but like I said we did create some good opportunities.
“But we made some poor decisions either with or without the ball that end up giving West Brom a foothold in the game and there was numerous reasons, again I need to watch the game back to really evaluate.
“But overall, for the players stepping up as well, the levels are going up. We had a lot of players missing tonight for loads of different reasons. And yeah, tonight has proven to be a step too far.”
(Image: Robin Jones/AFC Bournemouth)
Connell said he had enjoyed the competition which had been a record run for the club to the quarterfinals.
“The competition is a great competition because it's so competitive,” he said.
“I love the format and it's been great to have eight really challenging games, but it should have been at least nine tonight.
“Right now I can't really reflect on the fact that we reached the quarterfinals. Once you get to this stage of the season, even in under-21 football, it's about performing, getting over the line, and delivering when it really matters.
“So the players understand when they step into first-team football, they can use that experience to help them in their careers. And tonight, we collectively fell short.”