The Hornets swooped late to try and bolster their keeping department.
Bournemouth have been in line to buy Begovic for £10million if Chelsea could find a replacement before tonight's deadline.
But Celtic held off their pursuit of Craig Gordon, meaning the Bosnia international did not move to the Vitality Stadium.
Heurelho Gomes has remained at Watford and helped them win 2-1 at Arsenal tonight
Chelsea player ratings against Liverpool
Tue, January 31, 2017
Express Sport brings you Chelsea's player ratings from their clash with Liverpool
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Thibaut Courtois – 6.5
However, Watford offered an alternative which would have seen Chelsea bring in another shot-stopper in the process too.
According to Matt Law of The Telegraph, Walter Mazzarri's side made a bid today worth £10m plus Heurelho Gomes in exchange for Chelsea's Begovic.
Antonio Conte has targeted a few keepers late in the window as potential replacements for his back-up to Thibaut Courtois.
But the Blues boss decided against accepting ex-Tottenham man Gomes.
The Watford keeper subsequently played tonight at Arsenal in their shock 2-1 win at the Emirates.
And Begovic has remained at Stamford Bridge, as Chelsea failed to sanction a move to either Bournemouth or Vicarage Road.