Giants were leading with less than four minutes left, but Liam Marshall's try won the trophy for Wigan.
"It was massively tough," said Watson of his team's 16-14 defeat.
"I don't think we could have done too much more.
"The boys put in an enormous shift and I thought we were outstanding as a group, we were the better team for large parts of the game and we haven't got what we deserved.
"It hurts because of how much effort they've put in."
Watson - who had lost two previous finals as coach of Salford Red Devils - refused to point a finger at full-back Tui Lolohea for his four missed kicks at goal.
He said: "It is what it is, we still could have won the game.
"I have had a good chat with Tui, he is going to beat himself up about missing the goals, but there's other reasons why we lost the game that we have to look at, rather than the kicks."
Pack leader Chris Hill suffered a calf injury in the first half and Watson admitted that was "huge, a big, big blow."
Giants did have the man of the match in second-rower Chris McQueen.
He said: "We could and should have won.
"I'm proud of the boys, but disappointed for the whole club.
"I don't think we deserved what we got."
Of his Lance Todd award, McQueen admitted: "It's something I am extremely proud of, but I'd give it back for the other trophy."