The Hornets were 2-1 up in the second half, though had to come behind from 1-0 down when Phil Jagielka headed the Blades in front while keeper Lenny Pidgeley was sent off for handling outside the box.
Jack Smith pulled things level and Heidar Helguson put the visitors in front but Jack Lester equalised with his penalty after Smith handled in the box.
He said: "I'm very disappointed - as disappointed as I've been this season, in fact.
"When you look at the experience we've got at the back, to concede two goals like we did was very poor.
"We gave them a massive lift with the goals and I thought we were unprofessional. We could have kept the ball a lot more and got crosses in from wide positions, but we panicked and didn't keep our discipline."