I remember reading an article (which I can't find anymore) which states the following (much non-canon incoming). 

 - The Borg wondered how the heck the Enterprise D made it to system J-29. (After assimilating the Hansens, they didn't expect to find a Federation ship there.) 
 - Upon trying to assimilate the Enterprise to learn the answer, it *just vanishes in a flash of light.*
 - Thus begins their long trek to Earth to assimilate that technology, an ultimately fruitless endeavor since no Federation ship ever does something remotely similar again. 

Obviously the above is AFAIK, not canon, but in canon (or even beta canon) do we know what the Borg thought of that encounter?