The high-flying Hornets looked set for a fourth win in a row after Almen Abdi's superb free-kick had secured a first-half lead, and created several chances to make the game safe in the second period.
However, roared on by the Molineux crowd, Dean Saunders' Wanderers finally produced an equaliser at the death when Bakary Sako pounced on hesitant to defending.
Zola said afterwards: "I was already thinking the game was won and the late goal was a shock for me as it was for the whole team.
"I think the difference wasn't the goal we conceded but the other goal we didn't score. We had so many opportunities to do that and we couldn't quite convert them.
"It's the price you pay in those situations. When you play away from against a good team like they are, you can expect that sooner or late they are going to score a goal - even if it's a fortunate one.
"No complaints, though. It's sad to concede so late in the game but we take a lot of positives from the game."
Despite the defeat, Watford still sit in the second automatic promotion spot in the Championship, and the Italian added on the possibility of Premier League football next term: "We know that the competition is tough but we'll have a proper go."