North End were beaten 3-1 at Rotherham in the League One semi-final second leg, going down 4-2 on aggregate, meaning it was a ninth unsuccessful campaign in the end-of-season showpiece, having never gone up this way.
Grayson's side accrued enough points over the regular campaign to have won League One had they achieved it last season, but they were forced into the play-offs owing to the incessant form of Wolves and Brentford.
"It hurts when you lose any football match but when you lose a semi-final it hurts you even more but there's only two teams that can go through," Grayson said.
"It can be a really strong motivation to have in your locker for next year.
"You don't like losing any match and semi-finals are difficult to take.
"I experienced it as a manager with Leeds but we bounced back the next year with automatic promotion and that will be our aim next year because you can't be down for too long."
Although being well-beaten North End played their part in a thrilling encounter and were only denied a way back into the game by the woodwork, with Jack King and Joe Garner both hitting the frame of the goal.
"I asked the players before they went out to give everything, leaving everything on that pitch and they can at least come back in with some pride and they've done that," he added. "Football's all about fine margins and we've not had things that have gone our way.
"We've hit in the inside of the post two or three times and it's come out, the keeper's flapped at one before half-time.
"We've give everything, we tried different formations to try and get back into the game. As you can imagine it's a hugely disappointed dressing room because of what's happening."