The Hornets boss felt his side had two clear penalties turned down against Millwall - and claimed it was not for the first time.
Troy Deeney was bundled over in the area before half-time and Danny Shittu could have been penalised for handball in the second half.
But referee James Linington was unmoved and with six minutes left Lions substitute Shaun Batt struck to secure a 1-0 win for the hosts.
Afterwards Zola said: "We had two clear penalties not given. One when a header was stopped with a hand, and one on Troy Deeney in the first half.
"And it's not the first time it's happened. It looks like they are enjoying themselves when they do not give us anything.
"It's not the first time and we are missing points that would have made a big difference. It's game after game."
Millwall assistant manager Joe Gallen said: "In the second half I thought the whole club seemed to galvanise.
"We did not have too many chances but the one clear-cut one we did get, Shaun put in."