Northern Ireland international Grigg scored the only goal of the game 11 minutes from time at the DW Stadium to end City's hopes of a quadruple this term.
Fans invaded the pitch following the full-time whistle, scenes which Grigg felt could have taken the spotlight off the victory.
"It is disappointing just in terms of we don't want to take the limelight away from the players, from the club, and from everyone involved because it was a really special night," the 26-year-old told Sky Sports News.
"It is disappointing but we will try to concentrate on the game and what a massive night it was for us.
"It was one of those nights that goes down in history for the club. Obviously for myself to get the goal, and to finish on such a high, was an unbelievable feeling."
Wigan will now face Southampton in the last eight of the competition.