Crystal Palace manager Ian Holloway recently blasted the loan system which has allowed the Hornets to take 12 players from clubs which are also owned by the Pozzo family, who took over at Vicarage Road last summer.
Holloway said: "It's a loophole and that's wrong. Unlimited foreign loans? It can't be right."
Midfielder Anya, on loan at Watford from Spanish side Granada, can understand the frustration of rival managers but says the players are pulling together and have done nothing wrong.
"It's allowed," he said in The Sun. "If any rules had been infringed the FA would've got involved. So everything we have done is legal.
"You empathise with other managers because it is difficult for them to accept in the league - but at the moment we are enjoying it."
Anya added: "If you ask most of the loanees if they would be happy to stay for another year, I think they would say yes.
"We feel as though we're one big group. I can understand where the comments are coming from - but as a team we're a close unit."