"Rest in Peace friends".
Connolly, who was a regular at the pub, said the Clutha would always have a special place in his heart as he recalled the fond times he had there.
The actor and comedian said he had never before been moved to pay tribute at the scene of a tragedy but felt he should mark the occasion.
He laid a bouquet of white lilies, white roses and green ferns at the crash site yesterday.
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.
"The Clutha's got a very special place in my heart. I had many happy times in there."
The pub was at the centre of the 1960s folk scene that Connolly and the late Gerry Rafferty were involved in. 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 said he had watched Friday night's event unfold on television in New York.
He added: "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.
"Everybody's talking about how well Glasgow coped. I was very, very proud to be a Glaswegian."
Rangers manager Ally McCoist laid a wreath on behalf of the club while Deputy Prime Minister Nick Clegg also visited the scene and met emergency services before signing the book of condolence.
Members of the Celtic women's football team also visited the scene yesterday. One of their team, Chloe Arthur, lost her father Gary in the tragedy.