The Premier League outfit were 2-0 ahead after just 18 minutes courtesy of a brace from the 25-year-old marksman, whose first goal came from the penalty spot.
And Gray completed his treble eight minutes after the break as Rangers - who had recently won all four Scottish League Cup outings, scoring 10 times and conceding none - looked surprisingly pedestrian in the clash.
They did, however, pull one back through an own goal from Ben Mee on 75 minutes, but overall there appeared to be a huge gap between Rangers and Burnley, who won Premier League promotion last term.
Then again, the Scottish giants will not come up against a centre-forward of Gray's calibre every week in the Premiership.
Gray is a striker who Warburton knows very well after the 53-year-old signed him from Luton Town for Brentford in 2014, and the Rangers boss says that the hitman is easily a £15 million-rated man now, before admitting that the Gers perhaps gave Sean Dyche's troops a tad bit too much respect yesterday.
"We maybe showed too much respect," he told Rangers TV afterwards. "But there's still lots and lots of positives.
"Andre Gray is a quality striker. You know, he's a £15m striker - there's no doubt about that - and he showed his pace."
One big positive for Rangers is that they won't face another top-flight English side for at least another year. Instead, they kick off their Premiership season next week by hosting Hamilton at Ibrox.