The Hornets suffered their second loss of the season as Jordan Rhodes's goal separated the two teams at Ewood Park.
"Disappointed with the result and performance," Zola is quoted as saying by BBC Sport. "I knew it would not be a great game of football because that was the sixth game the two teams have played in 17 days.
"I didn't expect us to concede that goal. We were not brilliant going forward, the quality of passing and penetration was not great."
Watford return to action on Saturday when they take on Huddersfield Town at the John Smith's Stadium.