The Hornets held a two goal advantage with just four minutes of the first-half remaining before two quick goals from Yerry Mina sent the sides in level at the break.
Despite the visitors having Fabian Delph sent off, they were still able to snatch all three points with a last minute goal from Theo Walcott.
"It was just a mad four minutes. It was my man from the corner, he scored two goals so I take responsibility for that," Cathcart said.
"We should've been in at 2-0, going into the second-half in a much better position, so it's really disappointing.
"If you take out the individual errors today we win the game, that's the way we have to look at it. It's what we need to work on and try to cut those out."