There have been reports suggesting the Italian may be removed form his role at season's end with ownership believed to be unhappy with how he has fared in guiding the Hertfordshire club to 10th place on the table.
But Mazzarri says Hornets owner Gino Pozzo is pleased with the way the team has played in 2016/17 as they close in on their main objective - survival.
"On the basis of what has happened through the season, when you see all the injuries we have had, I think [the owner] is quite happy," he said.
"Our target was to be mathematically safe and we still are not mathematically safe. We're very near safety and that was our target for this season.
"We've been here before and know that every match is important. We want to do better and better and value every performance.
"It's clear that when we lose games we should have won, we're not very happy."