Their 2-0 defeat at home to Manchester City confirmed that Wolves will be playing in the Championship next season, with three games yet to play.
The Black Country side face Swansea, Everton and Wigan in their final three Premier League games, and Connor is sure they will be giving it their all to be competitive as the season reaches its climax.
“It’s really emotional and raw day, not only for myself but for the staff, players, supporters and everyone connected with the club,” he told reporters.
“We’ll find the next few days tough but we’ve got three more games to complete the season, and we need to approach them in right manner.
“The Premier League is said to be best in the world so we’ll be honest and competitive for three more games as the performances and results we get may have a bearing on how the league pans out, so we owe it the league and everybody to finish it off.
“We’ll finish the season, we’ll finish it competitively and then we’ll sit down and decide where the club wishes to go and which path to take."
A visibly disappointed Connor praised the supporters who applauded the team’s effort throughout the game, and hopes they will stick together as they rebuild.
"The fans were fantastic today,” he added. “They knew what was riding on the game today and they gave us every backing, and to be fair to them they’ve been doing that for the majority of the season.
“For them it’ll be really raw, tough period but it’s their club and they must keep supporting their club. There will be plenty more good times to come."
As for whether Connor will be part of those good times, he admitted there will be discussions with the club once they have come to terms with relegation.
"I’m sure they’ll be a review, it’s probably too soon to review it now but I think when the season comes to its conclusion [it’ll happen],” he said.
“I’m contracted to the last game of the season, I’ll sit down with the club, give them a full review of the season.
“Wolves is a club with a lot of tradition. It’s had good times and some really good success.
“This year will be seen as one of the less successful ones but Wolves will always be there, [we will] bounce back whichever group of players, whichever manager, whoever’s in charge the club will bounce back.”
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