Chris Brunt's excellent goal gave the home side the lead just after the hour mark although Ashley Young bundled the ball in late on to level the scores.
The duo both picked up knocks - Rocastle emerged after the game with a cut above his right eye while Coughlan had to hobble off but both should be ok.
"I think we should have taken all three points," former Chelsea man Rocastle told Footymad. "The game was ours – it was just again a late goal we conceded but at the end of the day a point is better than nothing. If we got the win then the players would have been buzzing going into the next game.
"I got a knock – I’m dizzy but we get Wednesday off so hopefully we can kick back on for Monday's game.
"Goals win you games, especially if you get that second one at home which kills the match off but against Watford we just couldn’t get it. We keep hitting the post but these things will eventually come – we have to be patient, get more organisation for Monday and hopefully get three points against Brighton."
Coughlan meanwhile was frustrated with the team's ability to hold onto a lead - and believes that Wednesday have to cut out errors otherwise it could be a very difficult season.
He said: "I think in the last two games we have dropped four points. You have to win your home games especially when you are 1-0 up but we conceded a late goal on Saturday (at Plymouth) from a penalty and a late one against Watford and it just goes to prove that we have to cut out the basic errors and start taking maximum points from games.
"On the positive side, we are three games undefeated and we are becoming a very hard team to beat but if you look at it, if we continue to chuck points away it will cost us dearly."
On his injury which forced him to be substituted, he added: "I’m alright! I have had a couple in my time and I am sure I will get more in the future – it’s just part and parcel of the game."