Gray said: "The pleasing thing is was what we did with the ball but from the view of a coach or manager it's what we did when we didn't have the ball, the effort and commitment.
"If somebody made a mistake there would be a team-mate there making the effort to win it back and correct it.
"Obviously on the back of the disappointment of Brian (Laws) and Russ (Wilcox) losing their jobs, then going 1-0 down, I thought the crowd was fantastic. They stayed with us and got the players going. Some of our play in the first half and the enjoyment of our play.
"They were three quality goals. Then in the second half they get one back, but I still thought the crowd showed great spirit to keep the players going. And in the end we could have won by more, so that's the disappointing thing. If we'd have got one more goal it would have pushed us into the play-offs."
On his current position, he added: "I'm very honoured to be asked to take the caretaker capacity, obviously disappointed with what's happened. We could have played poorly against Scunthorpe, won 1-0 and be fifth in the league and three points today we'd be a bit further up.
"But nothing surprises me in football. I'm very honoured to have been able to take the caretaker capacity. I've been given three games, I've got one out of the way and now we just want to focus on the Reading game."
Sheffield United's new manager Micky Adams looked at the positives from his first game in charge.
"I think there's been positives and negatives to come out of it. We scored two goals away from home again and going forward we looked as though we could cause Burnley problems but defensively we were not good.
"After the first goal we were still well in the game but it was a great strike and could probably only have been scored by the player that scored it. We should have seen the game out but the way we defended those two goals wasn't the best.
"There's some decent characters in that dressing room. They are hurting a lot after that but we can't feel sorry for ourselves because the games are coming thick and fast. We have to come out fighting at Bramall Lane on Monday."
He added: "I've not had a lot of time. You've just got to roll with it and take advice off people, especially the coaching staff. I didn't even know the names of some of the players.
"You've seen some of our defending today and I would like to think I can change that. I need time on the training ground."