The centre-back all but played his last game for the Pars in the 1-0 win over Hamilton Accies on Saturday.
Connolly leaves East End Park on a high after 14 appearances for the Fifers. He was one of the key players in the crucial win over Accies and has backed the those in charge to steer the club to safety.
He said: “The manager spoke to me earlier in the week and said, ‘I want you back in for Saturday’, so I made it my priority to make sure I was back if it was my last game, and it’s kind of looking that way.
“If it is my last game I’m delighted to leave on a clean sheet and a win, because it was much needed.
“Unfortunately, that’s my problem - it’s full throttle. I can’t really go half-hearted because that’s not my game. If I do, I’ll play pretty bad.
“I thought to myself, ‘just get a result, a clean sheet’, which we did.”
‘A Premiership club’
He added: “I certainly hope Dunfermline will be okay. There’s definitely the right people in charge and there’s good people behind the scenes.
“There’s a young team there who are sometimes a little bit naive. But generally they’re good boys and they want to do well.
“I thought Matty Todd, Dan Pybus, Paul Allan were all outstanding. They worked so hard and you need that – but you need that in every game.
“The club’s desperate to get players in all the time, but it’s difficult.
“But the big thing, even when I was coming here from Dundee United, is Dunfermline. I didn’t really care about the position the club was in, it was Dunfermline Football Club.
“It’s a big football club and one that I feel should be in the Premiership.
“A lot of people have said that over the years but it takes a lot of hard work, it takes getting recruitment right and getting the right players in, and working hard.
“You need a bit of quality, but you need to roll your sleeves up.
“I think the boys did that, but it can’t just be a one-off. It needs to be every week and that’s how you win leagues and win games if you’re in a relegation battle.
Regarding his future, Connolly noted there is “stuff in the background that could be happening”.
“Until everything’s finalised, there’s talks at the moment,” he said. I need to speak to Dundee United.
“The manager has spoken to me and made it his priority for me to stay, but I need to sit down. I’ve got family stuff I need to look at.
“Listen, it’s not that I don’t want to be at this football club. There’s other things that are big factors in life, so I just need to see what happens.”