Rovers were trailing 28-4 after 54 minutes but fought back to level a pulsating game at 28-28 with George King’s late try.
Along the way at Emerald Headingley, debutant Ryan Hall scored a hat-trick and Mikey Lewis a wonderful solo effort.
However, the East Yorkshire club were ultimately undone by James Maloney’s drop goal just two minutes into Golden Point extra-time.
Rovers lost plenty of games after slow starts last year when they finished bottom.
This display hinted at a better campaign but after the 29-28 defeat, Smith said: “It’s disappointing not to come away with a win after fighting back like we did to give ourselves a chance.
“Catalans came out of the blocks and played some good stuff.
“I didn’t like the fact they were out of the blocks quicker than us.
“We have just got to learn our lessons. If you don‘t start with the high energy we found in the second half you get hurt.”
Ex-Leeds Rhinos winger Hall failed to score in two years in the NRL with Sydney Roosters but the England star quickly got reacclimtised to Super League on his KR debut.
“It could have gone better - we could have got the win and I’m sure he’d trade those three tries for that,” said Smith, who worked with the 33-year-old at Rhinos and for the national side.
“I’m pleased for Ryan. I think he’ll score a lot of tries for us this year.
“I said that to him when he joined. But it’s what he does to get us out of our end as well and he works as hard there as anyone in the game.
“I’m pleased for him on a personal level.”