But Munster held out for a 18-11 victory to set-up a Grand Final showdown against Irish rivals Leinster whom O'Connell admitted were more impressive in their semi-final defeat of Ulster.
"We probably left a few tries out there. We had them once or twice out wide and we had them at rucks and mauls," said O'Connell who started all five matches of Ireland's 2011 RBS 6 Nations campaign.
"We played well and put the Ospreys under a lot of pressure. We dominated territory and possession and started very well.
"But I was disappointed with the way we finished the game on the scoreboard.
"We have struggled against the Ospreys from time to time this season at the scrum, but we scrummed really well against them this time. Our lineout was good and so was our ruck stuff.
"We were patient in the first half, but in the second we threw out some silly ball. But to get a performance and result was great.
"We were conscious we wanted to keep the ball and didn't have too many frills in our game.
"When something is working, you have really got to keep doing it. Sometimes you can get caught up in trying to play the perfect game when you should really stick at what's working.
"We wanted to keep the scoreboard ticking over, as Leinster did against Ulster in their semi-final, and were very patient.
"We knew, if we kept that patience, we would wear down the Ospreys. At 18-6 up we probably should have kicked on, but we lost a bit of our patience. If we had kept it I'm sure a few more tries would have come our way."