The Latics came away from Hilsborough with a 3-0 victory which represented Wednesday's first defeat of 2014.
Speaking to the Sheffield Wednesday official website, Gray said: "I thought we started quite brightly but in any game of football you have got to get it right in both boxes.
"Unfortunately we didn't do it in their box and we didn't do it in our box to stop the goals going in.
"I can't remember Chris Kirkland having a save to make and it was the manner of the goals weve conceeded that shows the quality of the finishing."
