It seems a conservative statement, given that Steelers are already 5-1 ahead of Clan from the first leg of the Challenge Cup semi final.
But Connolly, the current top points-supplier in the EIHL, has been around too long to think such a lead cannot be dismantled, once the momentum has changed.
He wants to begin the Arena match as though it was starting from scratch.
"That's the funny thing about aggregate games," he said. "You try to say it is 0-0 when you start the game but for whatever reason it is in the back of your head that you have got that lead.
"It is one of those things. We are going to have to come out try to compete, play like it is 0-0.
"I think the first goal is going to be big. If we can get it, it will really deflate them, if they can get a goal early obviously they will feel like they have got some jump to them.
"It is going to be different. It is nice to have a four-goal lead but we have still got to play the right way."
Connolly starred for Clan last season and knows what their club culture is all about.
"I know they are not going to quit, they are a hard-working group, they stick together Fitzy (coach Zack Fitzgerald) will have those guys motivated," he said.
"It's not going to be an easy game; they are not just going to roll over...they are always going to fight right to the end.
"So we have to know they are going to come in hard and match the intensity."
Connolly said Steelers had recently shown they are capable of beating other top teams in the EIHL and that: "If we don't have our best we can still scrape a win out.
"Maybe earlier in the year we didn't get those points.
"But we are finding a way to do it now. A lot of guys are chipping in, we are getting scoring and good performances from the whole line-up through and through and when we are doing that we are a tough team to beat," said the forward, who clocked up seven points in his last five games.