Rovers completed a league double over the Owls thanks to Chris Brown's first-half tap-in, the striker's eighth goal of the season.
Gray said: "When you're on top you've got to score.
"We dominated possession for the first 20 minutes and Leon Best had a great chance to put us ahead.
"It was that sort of game where the first goal would probably end up defining the game.
"We thought Brown was offside for their goal. Maybe they got a lucky break there but far too many of our boys had an off day.
"We had good possession but they picked up more second balls and probably played the pitch better than we did.
"Our final ball was really poor. The quality on the ball let us down.
"We said 'go again' after beating Queens Park Rangers but it was probably a game too far for us."
- Sports & Recreation
- Chris Brown