The Lions failed to break down a stubborn Watford defence and Hornets striker Danny Graham handed his team all three points with a 51st-minute effort from close range.
Jackett said: "I'm disappointed with the result. Perhaps not the performance, although results are the bottom line and accountable.
"Even in the first half, when Watford started strongly and had us under pressure, we had all the clear-cut chances - from Danny Schofield's volley, one where Liam Trotter turned the centre-half and has just put it wide and I think one did hit the bar.
"From that sort of period on when those chances came, the clear-cut chances fell to us. You're obviously looking to finish them and that's something we need to do and we need to do better.
"We played with spirit, I felt in lots of departments we more than matched Watford and kept the pressure on them and I'm ultimately frustrated with the result."