Tony Mowbray felt his side produced plenty of positive signs at Watford, yet Rovers were once again left frustrated by missed opportunities at Vicarage Road.
Rovers bossed the game throughout, but found ex-England goalkeeper Ben Foster in sensational form for the full 90 minutes.
The home stopper was the star man for Vladimir Ivic's side, producing an array of outstanding saves to ensure Rovers went away with nothing from Hertfordshire.
Two early goals from Joao Pedro and Tom Cleverley put the home side in command, and although Ben Brereton pulled one back, Darragh Lenihan's unfortunate own goal ensured it would ultimately be a night of disappointment.
Foster kept out Adam Armstrong's penalty midway through the second half, in what was a frustrating evening for Mowbray's men.
“We were pretty good for long spells and yet we’ve lost three goals, so that’s something we have to tinker at, to stop those transitions against us," Mowbray reflected to iFollow Rovers after the encounter.
“Against the best teams we really need to do that, to not expose our central defenders. It’s something to work on.
“I’ve said to the lads in the dressing room that they left Watford off the hook, and they’re a team who were relegated from the Premier League and still have some really talented players.
“We can keep doing the right things, keep pushing hard and let’s see where we are in a dozen games rather than after six games.
“The goals were really soft and were so unlike what we’ve been producing this season, but they do have some very special strikers.
“I think I read that they wanted £50m for the boy [Ismaila] Sarr, so they have some top players yet we competed really well.
“I’ve said to the lads that we need to improve the quality in the final third with that final pass, picking the right options," he added.
“Their third goal wasn’t necessarily down to Darragh over-stretching, it was down to the miscommunication five seconds earlier between Ryan [Nyambe] and Lewis Holtby and another one of the lads.
“We don’t like losing football matches but I can see this team going on a run where we go on lots of games without losing matches.
“So let’s stay positive, let’s keep the team believing.”