For the 1-1 draw, caretaker manager Ferguson hauled Kean off in the 89th minute - less than 20 minutes after substituting him on.
"He's 19 years of age is Moise Kean," Gray said on beIN Sports. "When he had possession he wasn't great but there is one minute to go.
"I don't know what Duncan's thought was.
"You could have given him a rollocking from the touchline and told him to get moving a little bit more but I don't know why he's done that. He's probably lost the kid now.
"If someone like Mourinho, Klopp or Guardiola had done that we would be thinking 'why has he done that?' But these guys are experienced coaches and there would be a reason. Even those guys wouldn't have just blanked him.
"Klopp would have grabbed him and told him to listen and Guardiola would have hugged him.
"Remember when Klopp brought Henderson off and he walked past him. The coach was like 'hold on you don't do that to me. If one of us is unhappy then you whisper in his ear that we'll sort it in the dressing room'."