The Hornets suffered disappointment on the final day of the regular season as they lost at home to Leeds when victory would have taken them to the Premier League.
It was a calamitous day for Zola's side as goalkeeper Manuel Almunia was injured in the warm-up and his understudy Jonathan Bond badly hurt in the first half, leaving Jack Bonham in goal.
Troy Deeney was also sent off but Zola insists his players are fully prepared for their crunch clash with the Foxes.
"We have no regrets," Zola told Sky Sports News. "We tried everything. What happened to us was very unfortunate.
"I think in 25 years that I've been in football something like that has never happened - two goalkeepers got injured and our main striker got sent off.
"That is why we are here. We are starting again and are full of confidence. All the players are prepared for this."
The Italian feels Watford are unfortunate that their semi-final tie is not weighted in their favour having finished nine points and three places ahead of their opponents.
"In Italy if you end up drawing both games then you go through if you finished in a better position, which is another system," added Zola.
"But I don't want to look like I'm talking about it because of our position. We are ready to go there and play against a very good team like Leicester with a good manager."