Jordan Rhodes struck in injury-time to sink a Hornets team that failed to score for only the third time this season and Zola admitted he thought his players had done enough.
"I honestly couldn't see them (Blackburn) scoring because they were not causing any particular problems to our defence so I thought the game was gone," the Italian said.
"But you have teams that never give up until the end so you can't say the game is gone.
"Maybe five minutes of 'extra-time' felt too long from my point of view but no complaints really.
"I can't classify it as a fortunate goal. With no disrespect towards Rhodes who scored a good goal, but probably towards the end we started to defend too deep and when you do that, you know it's always a risk."
Zola also promised improvements after his side's second consecutive defeat, adding: "This is the third game in a week so it can be more difficult to defend deep and get to their end to counter-attack. We will work and improve."