What should I do now that my worker's compensation claim has been denied?

I live in the state of Connecticut. I got injured at work a couple minutes after I clocked out. I went to the hospital for stitches and I reported the accident to a shift manager the same day. I got a concussion from the injury and missed 7 days of work with no pay. I filed a claim per request of the hospital. I received a call from my jobs insurance company telling me that because I was technically clocked out, he felt that my case was a gray area and denied my claim. How should I proceed from here? Should I let it go and try get coverage through my health insurance? Or do I have grounds for an appeal or lawsuit? Thank you.