I would guess the answer to that is that the Pats did not see a free agent guard out there they considered to be a significant upgrade over Connolly, that was also worth it in terms of value for the amount of money that it would cost to sign him.
A second consideration is Marcus Cannon; if they were planning on not placing him on IR, then you start running out of roster spaces real quick if you add another interior lineman.
Also consider what happens when Cannon does work his way into the starting lineup; Connolly has the versatility to be an adequate backup at three positions; not all free agents that may have been available can say the same thing.
One last thought: it seems to me that continuity and cohesiveness is an integral part to the success of an offensive line. Players need to have an intuition about what the guy next to them will do without any delay in thinking about it; otherwise two offensive linemen end up blocking the same opponent, resulting in another defender having an open gap, untouched to the running back or quarterback.
I'm not saying that guys can never contribute right away on an offensive line - Vollmer, Mankins and Light did exactly that, for example. But the team is already trying to integrate Solder, and later do the same with Cannon; what effect would a third new player have to the performance of the line? Maybe that would just be too many changes at once.
Here's one list of available free agent guards at the start of free agency, and what has happened with them. For the most part I see three categories: guys that the Pats were never going to sign because they were too expensive in relation to what they were looking for; older guys that have a lot of injury history; and JAGs that aren't really an upgrade over Connolly.
WalterFootball.com: 2011 NFL Free Agents - Guards