Kevin Phillips broke Watford hearts after the score had remained goalless after normal time. The 40-year-old striker scored from the penalty spot in the 105th minute to earn Palace a 1-0 win in a game where £120million was at stake.
Zola was magnanimous in defeat, conceding Palace were the better side on the day, but felt his team deserved a second-half penalty when a Palace defender blocked the ball inside the area.
Zola said: "This game doesn't take anything away from our season. It's been a very good season.
"It's a very unfortunate thing we didn't play our best game. They played better and they deserved to win the game."
Zola vowed the Hornets will bounce back.
"We're going to be stronger next year," he said. "This is not the end of the road for us, this is just the beginning.
"I think it has been a big bonus for us to be playing this game today.
"I enjoy what I'm doing here and I'm going to make sure even my contribution is going to be better next year."