Troy Deeney scored the only goal of the game for last season's beaten play-off finalists.
Clark said: "I don't think the players got what they deserved. The supporters have seen the energy, determination and desire in the group.
"The only difference was the quality goal by Deeney from their point of view. It was a typical Watford goal - a great bit of movement and a terrific finish by Deeney.
"I've told the players that there is no need to change anything. On another day we would have got at least a draw.
"We didn't deserve to lose against a terrific team who will be there again at the end of the season because of the pace they play at.
"I believe we have hit the ground running and been unfortunate in terms of the result. We just didn't get that little bit of luck.
"We started the game well but they hit us with a quality goal and finished the match on a high note.
"I thought it was a proper home performance in giving the Birmingham fans pride in their jersey."