Connolly, who was a regular at the pub, laid a bouquet of white lillies, white roses and green ferns at the crash site earlier today. It read "Rest in Peace friends, Billy Connolly".
The pub was at the centre of the 1960s folk scene that Connolly and the late Gerry Rafferty were involved in and he said he had "many happy times in there". The comedian, affectionately known as the Big Yin, regularly played at the venue in the early 1970s, when it was known as the Wee Man, with his band the Humblebums. It was also a favourite venue for him when he was starting out as a comedian.
Connolly, who was recently given the all-clear from prostate cancer, said: "It's very sad but it means quite a lot to me. I have played in all of these pubs. The Clutha was a good music pub. They didn't mind banjo players, which makes a change.
"I had many happy times in there. Glasgow has really risen to the occasion. I have never heard so many nice things about Glasgow.
"I had to do something; I couldn't just let it pass though I have never done anything like this before.
"I was devastated to hear of what happened, like anyone else. It was weird seeing it happening on TV while I was in New York.
"Everybody's talking about how well Glasgow coped. I was very, very proud to be a Glaswegian.
"The Clutha's got a very special place in my heart."
Rangers manager Ally McCoist also visited the site today to lay flowers and pay his respects.
Nine people died after a police helicopter crashed into the roof of the busy Clutha bar in the city on Friday night.
Eleven people remain in hospitals across the city.