Gray, a live-wire throughout, took a hefty knock in a collision with Gunners midfielder Thomas Partey shortly after the half-time interval.
But Benitez revealed the forward had no intentions of asking to be withdrawn before notching his fifth goal for the Club following a summer move from Bayer Leverkusen.
"We were watching Demarai because he got a knock and we weren't sure if he could carry on but he said he could, then, at the end, he said, 'I told you I could carry on!" said Benitez.
"It was an important moment. I think it's important for everyone to have the belief that we can perform like today and win against any team.
"It's about showing this character every single game. We've done so in a lot of games but were unlucky. Today, with a bad run, the reaction even in adversity was really good. It is what we are expecting and hopefully it will be the same until the end of the season."