The Magpies squeezed into the quarter-finals thanks to a late Scott Parker goal and a penalty save from goalkeeper Steven Harper.
Roeder: "I didn't feel like a condemned man at 2-1 down, not at all. It never even crossed my mind because the final whistle had not gone.
"It only takes a second to score a goal. There were four minutes left and we were on the up and what Scotty Parker did, he was capable of doing.
"Yes we ran it close to the wire but in the end we got what we deserved by going on to win the game on penalties."
Watford manager Adrian Boothroyd keeps insisting his side should be beating everyone in the Premiership, and continues to live the impossible dream. Yet, finally, he admitted his side have a lot to learn.
Boothroyd: "We didn't particularly play well tonight. We showed a lot of spirit but we were nowhere near as good as we can be. We kept giving the ball back to them and you can't do that.
"But we got back in it and we should have won it. When you are 2-1 up with five minutes to go you expect it to be closed down but it wasn't to be."