The former English champions managed to come back from a two-goal deficit to beat Bayern Munich 3-2 at the Allianz Arena last night, but their manager was unaware that one more goal would ensure top spot in the group.
Failing to score another goal could cost them as they are expected to face a tough draw for finishing second, behind their German opponents.
"Pellegrini didn't even know," Gray said on talkSPORT. "I can't believe it. Surely Brian Kidd or someone should have been nudging him and saying, 'gaffer, we have got Aguero and [Alvaro] Negredo on the bench, why don't we stick those two on for 25 minutes and really worry the Germans and make a statement'.
"It was a magnificent performance and I don't want to sound as if I am taking something away from it, but it could have been so much better for them."