The Lilywhites boss acknowledged that the eight-goal thriller was entertaining for the neutrals, but was highly critical of his team's defending.
"It was probably great for the neutrals and for the supporters but, from my point of view, it was a shocking game of football," PA Sport quotes him as saying.
"Yes, we scored four goals but that's as poorly as we have played defensively, with and without the ball.
"Over the course of the game we probably didn't deserve anything but when you score four and go into the lead with a minute to go, you think you would at least show some desire to hang on to it."
Mathieu Manset netted in the dying seconds of the game to rescue a point for Coventry, a strike that Grayson believes summed up the game.
"The last goal probably epitomises the game. We didn't go with runners, we didn't stop the cross and let somebody free in the box. It was a disappointing performance all round," he added.
"The goals we scored just paper over the cracks of a poor performance. From start to finish it disappointed me. We knew what they would be like and that we had to match them but we didn't.
"We were too open. We've looked hard to beat early in the season and here we looked like we could have conceded half-a-dozen."
Preston have drawn all four of their league matches this season.