Anelka hooked the ball home from a Frank Lampard corner in the 75th minute and then headed a cross from Ashley Cole beyond Loach two minutes later.
After Chelsea goalkeeper Petr Cech had prevented Jobi McAnuff scoring a stoppage-time equaliser, Anelka finished off the Championship side with his third just seconds later.
"It was a brilliant experience, but it was devastating because they showed their class at the end," said Loach.
Loach had kept Chelsea out with a string of fine saves but could do nothing to prevent Anelka's treble. But the cup tie still capped a tremendous week for the 20-year-old who made his debut for the England Under-21s in midweek.
"That's where I want to be (playing against top teams) and that's where everyone in the changing room wants to be," he added.
"I didn't think we were that far from it to be honest, for 75 minutes I wouldn't say we were the better team but we were definitely on a par.
"It's just a few things we need to put together and it won't be long until we're knocking on the Premier League door again."
Goalscorer Priskin certainly shook Chelsea just two minutes after coming on as a substitute for Grzegorz Rasiak.
Priskin's pace saw him race clear of the Chelsea defence as he latched on to Lloyd Doyley's pass to dink the ball over the advancing Petr Cech.
"It was brilliant to inject his pace in there and I don't think Chelsea really expected it to be honest," added Loach. "Grzeg's a big target man and I think Chelsea expected the same from Tamas but he got in behind and he proved how clinical he can be and put it away."
Watford now have to concentrate on pulling away from the relegation zone in the Championship and face promotion-chasing Swansea in another massive test on Tuesday night.
Watford are currently third from bottom and facing a real battle to avoid relegation to League One.
But Loach added: "We treat every game the same, whether we've got Chelsea or Swansea, whoever we've got we put in the right approach and at the minute every game is a big match for us.
"What we've been doing is working very, very hard and the lads have showed it on the pitch and we're very close to being back up there again.
"We showed against a top Premier League team tonight for 75 minutes what we can do. If we can go into every game with that performance and attitude then there's no reason why we can't put two or three wins together.
"It's very close this league but we've definitely got the ability to be higher up."