For the Templeogue giant, it was a disappointing finale but he leaves his native province with nothing but good memories.
"I think the Ospreys took their opportunities very well in the first half and they closed things off very effectively in the second half and there was no real way back," said O'Kelly as he reflected on the grand final defeat.
"They defended incredibly well. They kept us out of the 22 and when we did get into their 22 they just ended up blocking us down.
"Realistically our first half performance wasn't good enough - we didn't work hard enough - and that was very disappointing for the team.
"When you reach finals, you can't expect the fact that you're in a final to just lift you. You have to push yourself.
"We tried everything. We threw the kitchen sink at them but it just wasn't to be on the day.
"Although it is hugely disappointing this (result) doesn't mean that we're a bad side. We will look to the future...by that I mean we as Leinster, rather than myself!"
O'Kelly, who turns 36 in July, agreed that he has plenty of memorable days with Leinster to look back on as he hangs up his boots for the last time. He clearly hopes to be cheering on Leinster in future finals.
"Obviously at this time of the year all of the lads are moving on to different things. It would have been great to win but I still have great friends and great memories from my time with Leinster," he added.
"Michael (Cheika) wants the team to maintain the culture that we have all worked hard on over the last five years. Regardless of wherever we go, it's important that Leinster maintains its desire to win."