After Odion Ighalo broke the deadlock, the Hornets rode their luck when Bradley Dack missed a penalty at the other end. But they did not heed their warning, as Mark Byrne sent the tie to extra time and Dack made amends with a winner for the League One club.
Mazzarri said: "I am massively disappointed. Especially for the fans who don't deserve to see us losing like that. They are very warm and they didn't deserve that performance.
"Up until we scored we were ahead and in control. We created about seven or eight chances and as soon as we got ahead we completely changed the way we played.
"I need to change this mentality of the players when we go ahead. I'm very angry because we can't see the danger of teams when we go ahead.
"The moment we go ahead we should continue to play well but we couldn't see the danger and got complacent.
"Instead of becoming stronger and working harder we changed our attitude completely. I don't think I made too many changes, we were creating chances regardless.
"It was the same team in the second half so I don't think it's a fair assessment to say I made too many changes. The fans are right to be upset, they deserved better.
"The players are fit enough. Even though all players get tired in extra time perhaps they were mentally tired a bit. We just need to work on our mentality when we go ahead."