The 27-year-old striker donned a luchador mask when he put Wolves 2-0 up in the 61st minute at Wembley Stadium, but the Hornets came from behind to secure a 3-2 victory after extra time.
Deeney played a crucial role, blasting home a 94th-minute penalty to level the game at 2-2 before Gerard Deulofeu scored the winner to avoid a penalty shootout.
Veteran forward Deeney only saw the Mexico star's celebration when he was shown a replay of it after the match.
"I genuinely didn't see that until just now," the 30-year-old told BeIN Sports . "There's a bit of me that wants to say something nasty, but I won't. But I'm glad he put that mask on, he can wear it out as well now that he's a loser. Enjoy the mask, but we got the victory.
"Don't get me wrong, he's a top, top player. I was him and I think he's very good, he plays the nine position on his own really well.
"I didn't see the mask thing, so I'm kind of glad I've only seen it now because I probably would have lost my head if I saw that. I think you've got to wear the mask and do all that stuff when you know you're going to win the game."
The win takes Watford to their first FA Cup final in 35 years, and Deeney was delighted with the determination his side showed by coming from behind.
"The hard work, the desire, you've seen it there," he told BT Sport.
"At 2-0 down many teams would have called it a day but we kept going, we brought the little man on [Deulofeu], had a little bit of magic, and the rest is just hard work.
"We've got room to grow. We're a team that doesn't have a ceiling on it just yet. We're not seventh [in the Premier League], we're not in the top 10 regularly so there's still loads to do.
"Personally, it's just a case of, with these young boys coming up who are keeping me on my toes, making sure I try to get this new deal. If anyone's watching, I'd like a new deal thank you!"