The 26-year-old joined the Hornets on Wednesday for a club-record fee, bringing to an end his two-year stay at Turf Moor.
Dyche admits that Gray's departure was somewhat untimely, but stresses that previous departures have consequently created openings for other players to make a name for themselves.
"It happened once before with Charlie Austin, when he moved two days before the season. They gave us an extra day this time," he told Sky Sports News.
Gray, who played non-league football with Luton Town just three years ago, scored 10 goals last season to help Burnley avoid relegation with a 16th-place finish.