Jordi Gomez scored the winning goal from the spot with three minutes left after James Perch had been tripped by Caolan Lavery.
Gray graciously admitted he thought referee Andy Haines had been right to point to the spot, despite some of his players feeling Perch had gone to ground rather
But the Wednesday boss was fuming at the first-half incident that saw Wednesday awarded a penalty of their own, when Jacques Maghoma was felled in the area by Ali Al Habsi.
Leon Best's spot-kick was subsequently saved by the Wigan goalkeeper - but Gray felt Al Habsi should not have been on the pitch in the first place.
"It was definitely a red card, definitely," said Gray.
"I was thinking we had a penalty, against a substitute goalkeeper, and I couldn't believe it when the yellow card came out.
"Jacques Maghoma has got the ball, he's gone round the goalkeeper and he's wiped him out.
"I was amazed when he only got a yellow, and then he pulls off a save that stops us from taking the lead.
"We shouldn't be missing penalties, but I'm just disappointed because the game would definitely have changed had we been playing against 10 men."
Despite Wigan rubbing salt into the wounds by clinching all three points with a late winner, Gray refused to blame Haines for pointing to the spot a second time.
"I think theirs was a penalty, I looked straight away at the linesman," Gray added.
"Young Caolan has clipped his heels and he's always going to go down. I've got no qualms or problems with that.
"It's just the inconsistencies - I just can't see the consistency.
"Some get a red, some get a yellow. But if it's a professional foul, for me it's a straight red."
Latics chief Rosler felt there was enough doubt whether Al Habsi was the last man to vindicate Haines' decision to only caution his goalkeeper.
"It was a clear penalty for me," said Rosler.
"Was it a red card? I have to say the ball had travelled away from goal, and James Perch was in a position to intercept.
"I would say no, it wasn't a red card. But I can understand Stuart being very disappointed.
"In his position, I would probably be the same."
Rosler also felt his side's never-say-die attitude warranted the break at the end.
"In the seocnd half, we consistently played in the half - they had one shot on goal," he added.
"We pushed them back, we kept on working, and when you have that attitude you get rewarded."