The incident came when Lee Camp dropped a high Lloyd Doyley ball into the area under pressure in the Boxing Day clash at Vicarage Road.
Although the Forest goalkeeper did well to block Henri Lansbury's follow up, he was out of position when Tom Cleverley's strike was blocked by Nicky Shorey's arm.
Mackay said: "I think myself, the fourth official, their bench, 15,000 people and the boy himself (Shorey) - who admitted it to one of the players afterwards - saw the hand go from down by his side to up near their (by his head) and stopped the ball going into an empty net.
"I've seen it six times (on the video) but the first reaction is always the one that you look at to start with and it was amazement.
"Everyone was exactly the same and I think when so many people are amazed then it's usually the case."
The decision, or lack of it, was tough on the Hornets, who had also struck a post, although they also needed a great save from England Under-21 goalkeeper Scott Loach to prevent substitute Dexter Blackstock from heading the visitors in front late on.
Mackay added: "I thought second half we played against a team who have spent seven million pounds since the summer and brought in an England international left-back (Shorey) in the last couple of weeks and are flying at the moment.
"The first half I thought was balanced but I think the way we played second half, pushed and pressed and kept them in there at times and created the chances that we did merited the chance to be able to put away a penalty."
When asked about the penalty incident, Forest boss Billy Davies felt his side should also have been awarded one, although he admitted Watford had a strong case.
Davies said: "I felt Chris Gunter was a definite penalty, inside the 18-yard box when Cleverley pulled him down.
"I've watched the video and I thought it was a stonewaller but I thought that's (Watford's) a penalty as well.
"There's no doubt about it, you know what you're coming to here and it wasn't a classic, and it was never going to be a classic.
"You have to face a certain style of play on a certain type of pitch and you've got to go and do that minus what has been one of our best players this season in Wes Morgan, who in this type of game is obviously a big asset to us.
"He was a huge loss but I thought we probably deserved to win the game with the amount of chances during the match but it's a very good point away from home and it keeps the run going, 15 undefeated, another clean sheet and another very good test for this young side."