Fans' favourite McAnuff made the move to Vicarage Road in the summer after Palace failed to gain promotion to the Premier League last season.
But his Hornets' career has stalled despite a promising start, with the pacy winger finding himself on the bench more often than in the starting line-up.
Cort told the Croydon Guardian: "He's a bit disappointed because he is not involved at the minute but he is having a good time there - he is in a good side and they are winning games.
"He said to me the other day he would love to come back on loan because he is not playing - he's a bit upset but he is getting on with it."