Wednesday fell to a 3-0 reverse against Wolves last night, and Gray was shocked with how easy the hosts found it to score.
The Owls have built their success upon a solid defence this season, but Wolves' attack was too much for them to handle and Gray admitted that it took him by surprise.
“It’s unusual for us to concede three goals because we have been compact, we have been tight," he said. "But if you give good players space they will hurt you. We didn’t defend the cross for the second goal, the boy Afobe has the volley and the ball is in the back of the net off the post.
“For their third goal, I don’t think we put a challenge in and Henry has delivered a great finish."
Wolves' win pushed them right into promotion contention, but it realistically ended any hopes Wednesday still had of making the play-offs.
It means that the Owls are now likely to be looking towards using the rest of this season to set them up for the next campaign.
The future looks bright at Hillsborough, with the club set to spend big over the summer, and Gray will be looking to assess his players' abilities between now and the end of the season, with the pressure off.
Wednesday's next game comes against Rotherham United at the weekend and it could be that Gray decides to make some alterations to his starting line-up after their defeat to Wolves.