On June 24, 2001, at the NHL Entry Draft, Connolly and Taylor Pyatt were traded by the Islanders to the Buffalo Sabres for captain Michael Peca. After missing only three regular season games total in his first four seasons in the league, injuries began to plague Connolly's career beginning in 2003–04. He missed the entire season with post-concussion syndrome after suffering a concussion in a pre-season game versus the Chicago Blackhawks. During the 2004–05 NHL lockout, he played the second half of the season with SC Langnau in the Swiss Nationalliga A.