It was the first goal that Wednesday have conceded this season.
"I just said to the players, we're going to have massive highs and massive lows and at the moment the dressing room is very, very low because it feels like a defeat," Gray told reporters.
"[It's the] last 10 seconds of the game where we've conceded but it just shows this game of football that's why we all love it so much; it keeps you on the edge of your seat and you never know what's going to happen."
Wednesday are still unbeaten this season and sit ninth in the early table after three games.
They next travel to Middlesbrough on Saturday afternoon.