Wednesday caretaker Gray, in his fourth game in charge following Dave Jones' sacking earlier this month, saw the match abandoned in the 59th minute with his side 1-0 down due to a waterlogged pitch.
Midfielder James McClean gave Wigan the lead with his first goal for the club, taking advantage of a fortunate ricochet off Wednesday defender Roger Johnson before sliding the ball under goalkeeper Damian Martinez.
Gray praised referee Keith Stroud, but admitted his side had clearly been second best.
He said: "I'm totally disappointed with the first-half performance. We got outplayed, bullied, individual errors, decision-making.
"I was happy to get in at half-time only 1-0 down, but for 15 minutes in the second half I thought we bossed it.
"In the end it had to be the right decision. The players' safety is the most important thing.
"Players can't run with the ball, the ball's sticking. Sometimes it's quite amusing for the supporters, but you've got to think of the players' health."