Leeds United went down 3-0 at QPR on Sunday afternoon.
Garry Monk's side were humbled at Loftus Road as goals from Nedum Onuoha - after just four minutes, with the help of goalkeeper Robert Green - Tjarron Chery and Sebastien Poulter saw Leeds endure a horrendous start to the Championship season.
Leeds players applauded the fans at full time but many supporters were in no mood to see them after making the long trip down from Yorkshire for the 12pm kickoff.
Monk has made seven signings this summer but there is still some 23 days left for the former Swansea City manager to bolster his ranks even further.
And Gray feels that Premier League promotion is unlikely unless the 38-year-old recruits more new faces between now and August 31.
"When people ask me about the top six I say 'we still need players'. We still need players if we want to challenge," he said to LUTV.
"You can tell the fans were a bit disgruntled after the game but if you're a player you have to expect that, especially when fans are getting up at four and five o'clock in the morning to come down and support the team. And they never really seen anything."
Leeds' latest new recruit Pablo Hernandez was with the squad in West London but he was ineligible to make his debut for United, which may or may not have helped.
They visit Uwe Rosler's Fleetwood Town in the League Cup on Wednesday, before hosting Birmingham City on Saturday for their first home match of the season.
It's still very early days, but Leeds will want to get a first league win as soon as possible and it could be against the Blues.