It was heartbreaking for Connacht who finished seventh in the GUINNESS PRO12 and led Sunday's game 25-18 before an 80th minute try from Billy Meakes took it into extra time.
And Lam conceded it was a bitter pill to swallow after his side seemed to have one foot in the final heading into the last minute of normal time.
"It was a tough week, and we're pretty battered and bruised," he told the Irish Times.
"The boys went for 100 minutes toe to toe, and we should have closed that game out and we should be preparing for a final back at the Sportsground. We can't describe how gutted we are.
"I feel for the boys. I'm absolutely proud of them.
"They just don't know how to give up and they keep working hard and when we went to extra time - and it was devastating what had happened - we regrouped and talked about belief.
"Fair play we scored a great try, but with four minutes to go we should have finished it off."
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