When you open the activity in Garmin Connect, click on the little gear icon in the far top right of the page.  It will have a dropdown that allows you to export in multiple file types.  You should be able to use .TCX or .GPX.  I usually use .GPX.  Once you have that file exported (note where it is saved on your computer).  Open Strava and click on the "+" icon in the top right and select add manual entry and then "file" from the left menu.  Select the .GPX file you just saved and follow the prompts. 

Update from @Ibex : Thank You I figured out my issue I was just highlighting the route  in my list of activities and not taking the step to open it up. I was not seeing the wheel beforehand.  Now when I open up the route I see the settings wheel and can now choose how I save the route to my Mac