"They don't know if they're going out for beer and buffalo wings or if they're going to be eating a pre-planned dinner so it's a last-minute, spontaneous decision. And having a meal on-call in the freezer when you're ready, we believe, is a huge opportunity," Connolly said at the Morgan Stanley Consumer Staples & Retail Conference on Tuesday.
Appetite for frozen meals appears to be growing across the aisle. Dollar sales increased 2 percent in the year ended Oct. 28, according to Nielsen. That's an increase of 4.3 percentage points from the year ended Nov. 1, 2014, when frozen meal sales declined 2.3 percent.
But millennials aren't just looking for anything, Connolly said. They want food that tastes good and is modern. And they're willing to pay for both.
"When we think about millennials shopping in frozen, the notion of them wanting to buy a meal at 88 cents doesn't compute because their latte costs $4.37," Connolly said.
In addition to renovating its three main frozen entree brands, it has also introduced new products under its other brands, including Frontera and Alexia.
Conagra's next frontier is probably snacks, he said. He pointed to trends in seeds and meat snacks, two categories Conagra has bought into earlier this year with Thanasi Foods, maker of Duke's Meat Snacks, and BIGS Seeds.
Acquisitions will continue to play a role in Conagra's strategy, Connolly said, but so will rethinking its existing brands like it did in the freezer aisle. Conagra renovated Slim Jim to make it more premium and more closely aligned with millennial-favorite jerky.
Enhancers will also be candidates for upgrades. Conagra plans to release Reddi-Wip made from almond milk and coconut milk sometime in the future to cater to consumers' growing interest in non-dairy, plant-based foods.
The classic Reddi-Wip was already revamped this year to meet today's consumer standards. The new recipe uses natural flavors and cream from cows that aren't treated with artificial growth hormones.
At the same time, Conagra will try and balance innovation with high-margin, reliable contributors, Connolly said. It's a balancing act in the food and beverage world that has challenged companies like PepsiCo.
"It's a mix, but I would tell you that we are real excited about the innovation slate we've got out there now," Connolly said. "But our mantra back at the home office is, 'What's next?' Because we know next year's got to be even bigger, and the year after that's gotta be bigger than that. So our foot is squarely on the gas when it comes to innovation."
Conagra is making progress, but its sales are still negative. In the most recent quarter, they dipped nearly 5 percent, up from a 9 percent decline in the previous quarter.
Shares of Conagra have slid 9.3 percent this year.