The 26-year-old joined the club in the summer as he searched for more first-team football after falling down the pecking order at Benfica.
After leaving Sporting Lisbon in 2016, he played just 20 games for Benfica last season.
Carrillo was loaned to Watford after scoring just two goals, but he is still looking to impress at the Portuguese giants.
He has featured in five of Watford's seven Premier League games so far but admits his future is in Portugal.
"I had to go out for more minutes, but I have the best memories of Benfica, to which I will return next season with more experience," he told O Jogo.
"I hope to have a good season at Watford and demonstrate my potential to merit a new opportunity at Benfica, the club that bet on me after leaving Sporting. I am very grateful for that."