Wednesday created 19 chances throughout the match and Gray believes that their inability to convert more of them made the difference in the end.
"I'm just disappointed because I feel we have thrown two points away," he told BBC Sport.
"We had better attempts at goal, Royston Drenthe was unplayable in the first half and Chris Maguire's had a great chance to make it 2-0 before half time. But in the second half, we were slow to get going and we were poor in possession."
Wednesday continue their Championship campaign on Tuesday evening with the visit of in-form Bournemouth.