Wiley had time and space to pick his spot when played through on goal just after half-time but fluffed his lines, with the Blades punishing that miss by scoring 10 minutes later.
Every one of the Hornets' 10 league matches this season have finished level or by one goal either way and Gracia stressed the need to take chances in tight games.
He said: "In my opinion there was a moment in the beginning of the second half where we had the best chance for us, the chance to change the game with Caleb.
"Then we have to recognise the opponent played better and dominated the game, creating some chances, until the end when we had a couple of chances with Imran [Louza] and Kevin [Keben].
"The details make the difference and that's the game."
Javi Gracia at Bramall Lane*(Image: Alan Cozzi/Watford FC)*
Gracia acknowledged the Wiley chance was the kind of move the Hornets were aiming to put together throughout but stressed again the need to be decisive in key moments.
He said: "You have to take this moment because if you don't do it, in this kind of game, it's normal that the team that is playing at home find the moments when they play better and create some chances.
"You have to do better, you have to be more consistent."
Callum O'Hare's winner looked close to offside in real time but Gracia said having watched the replays he was satisfied that it was a legitimate goal.