The only goal of the game arrived early in the second half, but Jackett said: "I'm disappointed with the result. Perhaps not the performance, although results are the bottom line and accountable.
"Even in the first half, when Watford started strongly and had us under pressure, we had all the clear-cut chances - from Danny Schofield's volley, one where Liam Trotter turned the centre-half and has just put it wide and I think one did hit the bar.
"From that sort of period on when those chances came, the clear-cut chances fell to us. You're obviously looking to finish them and that's something we need to do and we need to do better.
"We played with spirit, I felt in lots of departments we more than matched Watford and kept the pressure on them and I'm ultimately frustrated with the result."
Watford boss Malky Mackay was happy with the three points.
He said: "I'm absolutely delighted with the win today in terms of the squad right now and the youngsters we're having to bring in.
"So to come away with that win, it's one of the best ones of the season against a very strong, aggressive, resilient Millwall, to go and stand up to them today and take some of the challenges that we did and step on.
"I felt that at half-time it was a very tight game and I told the players to keep sticking to the game plan and stick to the shape and play from the shape and one moment of quality will come in the second half for us and we'll score a goal. And that's the way it happened.
"Don Cowie put a beautiful ball down the side, Danny Graham's movement got him a couple of yards away from the guy and he put a beautiful ball in the net. So one moment of quality was all it needed today."