The home side scored three of the game's five first-half tries. But a Rhys Patchell penalty on the stroke of half-time cut the Connacht lead to just two points.
And although two tries in seven second-half minutes gave the Irish province a commanding lead, the Blues kept fighting, with a Sam Hobbs try with the clock dead earning the Welshmen two bonus points.
"I think Connacht deserved the win because we fed them good field position, we struggled to exit at times and we gave a team with a strong attacking lineout the chance to use it," said Wilson.
"They scored a couple of tries from lineouts with the good field position we gave away. That is the disappointing side of it and you can't get away from that, there are no excuses.
"You simply can't give teams like Connacht good field position and expect to keep holding them out. Credit to them, they took the opportunities and scored good tries.
"We showed patches of what we are capable of doing in attack. The fight and hunger to go and achieve those two bonus points with the last play of the game was a little bit of a positive on a night that is a negative in terms of a result.
"We took the lead in the second half and had a try disallowed that I felt should have stood. But we then struggled to exit, fed them good field position and they took advantage.
"We didn't give up and maybe in the past this team has been accused of that. We carried on fighting and went and achieved the bonus points that, in terms of the league position, will be important to us."
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And although two tries in seven second-half minutes gave the Irish province a commanding lead, the Blues kept fighting, with a Sam Hobbs try with the clock dead earning the Welshmen two bonus points.
"I think Connacht deserved the win because we fed them good field position, we struggled to exit at times and we gave a team with a strong attacking lineout the chance to use it," said Wilson.
"They scored a couple of tries from lineouts with the good field position we gave away. That is the disappointing side of it and you can't get away from that, there are no excuses.
"You simply can't give teams like Connacht good field position and expect to keep holding them out. Credit to them, they took the opportunities and scored good tries.
"We showed patches of what we are capable of doing in attack. The fight and hunger to go and achieve those two bonus points with the last play of the game was a little bit of a positive on a night that is a negative in terms of a result.
"We took the lead in the second half and had a try disallowed that I felt should have stood. But we then struggled to exit, fed them good field position and they took advantage.
"We didn't give up and maybe in the past this team has been accused of that. We carried on fighting and went and achieved the bonus points that, in terms of the league position, will be important to us."
To buy tickets for the GUINNESS PRO12 Grand Final click here. Also follow us on Facebook, join the conversation on Twitter, sign up to our YouTube channel for extensive match highlights and sign up for our newsletter for regular updates on the GUINNESS PRO12.
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