And while the giant second row was delighted for his Ireland colleagues in the Leinster set up, it didn't mean it was any easier to sit back and watch Munster's greatest rivals succeed where his players had failed this term.
"I was happy for the guys but I'm a Munsterman at the end of the day. I'd rather we were there and we were winning it," said O'Connell ahead of Saturday's Magners League Grand Final at Thomond Park.
"I'm very envious of them but you've got to respect performances like that and look at what you can learn from it. I think Munster and Leinster have made each other better throughout the years. We've driven each other through our rivalry. We've probably got a bit to learn from them at the moment.
"I have great respect for what they achieved. Everyone in Munster has a great - and probably begrudging - respect for what they achieved in having made the final in such great circumstances in beating so many good teams and then to have performed like they did in the final in coming back. But it is a Cup Final at the weekend. We've a lot to play for and they've a lot to play for.
"We're not at peace with them being champions but it's part of it, there's nothing we can do about it. We've got to get on with our own job and that's this big game at the weekend."
However you put it, whether you're from Munster, Leinster or anywhere else for that matter, Leinster were simply sensational six days ago.
Trailing 22-6 at half time, 27 unanswered points resulted in one of the greatest comebacks of all time.
It not only led to continental glory, it also reminded O'Connell's Munster just how big a challenge they face in Limerick in the season finale.
"There's no doubt they're the best side in Europe at the moment," added O'Connell.
"They're playing great rugby. The manner in which they made the final with the teams they had to play and then the manner in which they won the final proves that.
"I'd never seen such a turnaround. Obviously teams have come back from scorelines like that plenty of times but I'd never seen a team be so dominant in the second half.
"Leinster had opened Northampton up a few times in the first half and with the team they have they always had the potential to turn it around. But the scrum turnaround was massive for them and made a big difference.
"They've played great stuff this year and they're in a very good place at the moment. It's going to be a very tough challenge for us with the way they're playing at the moment and the form they're in but we've got to rise to that challenge."
Paul O'Connell will lead Munster out at Thomond Park
All the talk this week has been about Leinster; about what they've already done and what they can go on to do.
O'Connell didn't give any outward signs at his pre-match press conference but surely it has to grate on him and the rest of Munster just a little?
After all, it's Munster and not Leinster who finished top of the Magners League standings by a colossal 13 points; it's Munster not Leinster who have lost just three times in the league this season; it's Munster not Leinster who won the last encounter between the two sides; and it's Munster not Leinster who are top seeds and have home advantage for Saturday's showdown.
But even O'Connell admits the pressure is on Munster's shoulders rather than Leinster's. The man who led the Lions in South Africa two summers ago isn't hiding from the fact that Saturday's opponents are the ones in real form and that Munster's exit from two European competitions in one season makes claiming Magners League glory even more important to the province's vast Red Army.
"There's certainly pressure on us. Leinster are playing great rugby, they're in top form, they're coming here as Heineken Cup Champions.
"While our Magners League form has been good, our European form has been poor. We're probably not where we want to be and they're probably where they want to be so there's a lot of pressure on us, absolutely.
"But that's the way rugby is at this level and this time of year. It's all about pressure and we'll see how we perform under that pressure."
Munster have had trouble breaching Leinster's defence recently
Bar that one-point win over Leinster at Thomond eight weeks ago, Munster's recent record against their bitter rivals is far from promising. Five successive defeats preceded that 24-23 triumph at the beginning of April, while Munster have failed to score a try against Leinster in their last six outings.
The failure to breach Leinster's line since spring 2009 has been a major talking point in the press this week but O'Connell insists it won't cloud the way his side prepares for their biggest game of the year.
"Sure, we'll be trying to get over the line but it's not something we're focusing on any differently to any other week.
"Obviously, our try record against them is disappointing. There's no big focus on it but to beat Leinster you probably need to score a try or two and you need to take any chances you get, whether that be putting them over the bar or getting over the line. Chances are few and far between against them as they have an excellent defence.
"We're not focusing on trying to change anything. Two weeks ago we played some great rugby but didn't finish off as well as we could. We left a lot of tries out there and you can do that maybe against Ospreys but I don't think you can do that against Leinster. They're a team that puts points on the board so we're going to need to get over the line."
Whatever happens on Saturday, whether they cross the line or not, you can rest assured there won't be a shortage of effort, of pride or of passion.
Grand Final success would mean a lot in any season, but after the year Munster have had and the manner in which Leinster have reestablished their position as Europe's top dogs, it's clear that victory this term would be just that little bit sweeter for O'Connell and his troops.
"It's a big Magners League Final at home. Physicality won't be a problem for us.
"It's the last game of the year, we're playing at home and we're paying our biggest rivals who are coming here as European Champions.
"It's probably the same mentality for them coming down to Thomond Park, playing one of their biggest rivals and with there being silverware up for grabs. Both teams will be up for it mentally.
"There's a trophy up for grabs at home against Leinster, which I don't think has ever happened before, not since I've been here professionally anyway."
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