Matt Heywood made his return to the County Ground with his new club Brentford, and wasn't given a welcome return by the Town Ends fans.
Brentford took the lead after 10 minutes following a corner which found O'Connor unmarked who header Brentford into the lead from close range.
Swindon came close to getting an equaliser but instead went 2-0 down thanks to a goal from ex Swindon loan striker Jo Kuffour from close range.
After a 38 minute corner Andy Nicholas made it 2-1 with a close range header.
After a long spell of presure Swindon made it 2-2 after 72 minutes with a 30 yard shot from Paul Evans beating the Bremtford 'keeper.
The game finished 2-2 after normal time and went into extra time where Swindon came close to taking the lead a number of times with Royce Brownlie hitting the bar.
Onibuje also came close for Swindon, but the game ended 2-2 with Brownlie getting sent off in the final minute of extra time with two yellow cards in the space of 10 seconds, the first for a foul, the second for a Wayne Rooney style clap of the referee for booking him which saw him shown the red card.
The game went to a penalty shoot out with Evans scoring Swindon's first penalty, and Brentford missing their first.
Brentford went on to score their next 4 penalties with their goal keeper scoing their final winning penalty.
Ifil scored Swindon's second spot kick, but Weston and Holgate missed their shots with Weston hitting over the bar, and Holgate's shot saved. Jack smith scored Swindon's last penalty but it was not enough and they lost 4-3 on penalties.
Overall a good game where Swindon should have won as they had plenty of chances, but went out. Swindon's next game is at home to Stockport on Saturday.