"It is difficult to put into words; it is a massive opportunity that we haven't taken - we haven't played great but we still could have won the game," he says.
"Unfortunately the team, everyone connected with West Ham, the travelling fans and the ones at home have had to suffer."
Connors had a 'goal' chalked off for offside and he says:
"I have had a few of them disallowed, sometimes wrongly, and it would have put us straight back in the game so I am bitterly disappointed.
"I thought I had scored and when Bobby had one disallowed straight after it makes it bitterly disappointing."
While the feeling - even expressed by Iain Dowie - is that man for man West Ham are better than Palace David says:
"You can't say that; it is a one-off game, we haven't won it, and the consequences of that are massive.
"It will take a while for it all to sink in, the disappointment of coming back to pre-season and we are not in the Premier League.
"If was a painful trip home for all of us and it is going to be a hard summer and a difficult season next year.
"We weren't far off but with the players we have got we shouldn't be far off; we did some things in the game not so well, like following our runners and it all accumulates - you switch off for a couple of seconds and they are in.
"My old mate Neil Shipperley was there to scoop up the winner while we had a good few crosses ourselves.
"Overall, the passing wasn't to the standard it should be and on big occasions that's what you need.
"Deano put them in the play-offs and you might say the luck was with them but they have done it and we haven't.
"It will be a long, hard, disappointing summer - we worked 10 months for this and it is bitterly disappointing.
"It is horrible; a cup final but with bigger consequences, and for the team that loses it is a disaster - particularly for West Ham, more so than any team with the players we have got and coming down from the Premier League.
"It is hard every year and it is a particularly difficult league; but we have to put it right and play like we did in the latter half of the season.
"On our day we can really outplay teams but it didn't happen in the game that matters.
"This is the club I want to do it for and now the club have got things to consider as they did last season."