The Lilywhites arrived at Bramall Lane in mid-table having little to play for to face a Sheffield United side destined for the play-offs.
Blades substitute Chris Porter had a 62nd-minute strike chalked off for handball, while Preston midfielder Lee Holmes clipped the crossbar with the visitors' best chance.
Following the 0-0 draw, Grayson said: "I thought it was a half decent game to say it was the last game of the season for both teams.
"Obviously we had nothing to play for but Sheffield United did and I thought we competed well.
"We were well organised and hard to beat. We limited them to few opportunities and, on another day, if we'd been more clinical in the final third then we'd have won the game.
"We're pleased with how the players have conducted themselves in the last game because it's never easy coming into a game like this, but we're delighted with what we've done as a whole since I've been at the football club, not just today."