Heading into half time 27-8 down, Pat Lam's men outscored Munster after the break - but Paddy Butler wrapped up a bonus-point try in the last ten minutes.
And in what could be a momentous week for Munster, Penney believes his team needed a slice of luck to see the game through and keep up their playoff pace in the RaboDirect PRO12.
"I thought Connacht played bloody well and we got the lucky couple of breaks, and it got away on them," he said.
"But the game was a lot closer than the score might have indicated, and it's a lot of credit to Connacht and the way they're going.
"They've got a good group of young lads in there, and they're going to be tough going forward."
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Guinness PRO12 Munster News
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