The Scottish actor explained that they differed when it came to sleeping arrangements with their daughters and their respective boyfriends.
The comedian has three daughters with Stephenson - Daisy, 28, Amy, 26, and Scarlett, 23 - and he said that men usually disagree with women about the issue.
"We argued about kids sleeping over. The question is, do you let your children sleep with their lovers at home or elsewhere," he told Australia's The Age.
"You will find that when it comes to daughters most women are for it, and most men are against it."
Connolly said that he was "bitterly wounded" when one of his daughters, aged 14 at the time, had shouted at him to get out of her room.
"I never thought she would speak to me like that. I was delusional, living in fairy land, which I've done most of my life."
The subject matter arose when Connolly was speaking about his role in the upcoming Pixar movie Brave, where he plays King Fergus.
The film shows how King Fergus and Queen Elinor deal with their daughter Merida, who wants to break tradition and become a warrior.
Brave opens on June 22 in the US and on August 17 in the UK.
Watch the trailer for Brave below: