Diogo Jota was crestfallen after Wolves "wasted" the chance to reach the FA Cup final.
Goals from Matt Doherty and Raul Jimenez had the gold half of Wembley dreaming on Sunday, when Gerard Deulofeu's 79th-minute stunner appeared to only be a consolation effort for Watford.
Jimenez, who had celebrated his goal by putting on a wrestling mask, was even announced as the man of the match as some fans headed for the exits, only for Troy Deeney's stoppage-time penalty to take the game to extra time.
Super sub Deulofeu went on to wrap up a 3-2 comeback win for Watford, leaving Nuno Espirito Santo's side on their knees.
"It's a bad feeling," forward Jota said of the emotions within the Wolves dressing room.
"We thought that we had the game in our hands.
"We had the chance to go to the final in our hands and we wasted it in the little minutes, so the feeling is not good.
"I think, of course, they did their job. The first goal is an amazing goal because they were starving, and the goal just happens.
"It's a great goal and it gives them help, and in the last minute it's a penalty so we did a very good game.
"But unfortunately for us they scored twice, and they had extra time - and they were better than us in extra time."
Asked what head coach Nuno had told the players after the match, Jota said: "Like I said in the beginning, we had the chance and we waste it."
Sunday's loss is a gut punch that Wolves cannot dwell on as the push for European qualification in the Premier League continues.
"It's time to rest now and then we're going to think about the Southampton game," Jota added. "Because we have a few games to go and we can achieve good things until the end."