Gray looked on as United’s bid for promotion was ended in crushing fashion through last Wednesday night’s 4-2 loss at home to Derby County in the play-off semi-final second leg.
Marcelo Bielsa’s Whites held a 1-0 advantage thanks to Kemar Roofe’s strike in the first leg at Pride Park but Frank Lampard’s Rams sealed a 4-3 success on aggregate and a trip to Wembley for the play-off final against Aston Villa on the last Monday of the month.
Having spent the majority of the season in the automatic promotion places before falling away to finish third, Leeds are now looking at a 15th consecutive season outside of the country’s top flight.
United are now hoping to sign head coach Bielsa up to another season and Gray says only another season of sheer hard graft will take the Whites up, with the 71-year-old warning that Leeds will start off on a level playing field against the rest of the division next term.
“I don’t think there’s a magic wand,” Gray told the YEP, assessing what he felt needed to happen next.
“It takes hard work. I think the coach will sit down with the owner and discuss his plans and the club’s plans and you just have to wait and see what transpires over the next couple of months.
“But the longer you are in this division the more difficult it gets and there are other teams coming down from the Premier League who will have big aspirations and you will have teams coming up from League One and they will be wanting to pose a threat.
“The one thing you can say about this season is that the support has been fantastic and up to the last month of the season, everything was looking rosy.
“But when you get into the play-offs you have got four clubs and you have got West Brom, Aston Villa, Derby County, all huge clubs and all big clubs for that division.
“Whoever you play it is never going to be easy but I think everybody was just so disappointed with how it turned out, especially going two goals up on aggregate.
“When was the last time we conceded four goals at home? That was it, we just lost it a bit and that was the downfall. It was just sad for everybody connected and I feel for the players as well.”
Reflecting on what Leeds need and what they might be able to get, Gray warned: “You don’t know and it’s hard to get quality in, especially when you are in the Championship.
“All the best players, even the young players and the experienced players, they will want to play in the Premier League and that’s what you are looking at.
“You are looking at players that are just nearly Premiership quality coming to your club and they don’t come cheap.
“It all depends on the finances at the club and if you get promotion you are talking completely differently.
“But we have not got promotion so we are exactly the same as all of the other clubs in the Championship when we start.
“We are not any better and not any worse.”