Sheffield Wednesday pushed the Championship winners-elect to the limit, with Michail Antonio cancelling out Riyad Mahrez's early opener.
Anthony Knockaert's excellent free-kick proved the difference however, and a battling performance from the visitors left them somewhat unfortunately empty-handed.
Wednesday boss Gray felt his side deserved something for their efforts, but hailed the moment of magic that decided the game.
"We got done on a quality finish in the end and that's why Leicester will be champions," he said.
"They win more games and they score more goals and they've got quality right throughout the team.
"We were a bit disappointed to go a goal down but credit to my players, they grew into the game and I thought at half-time we deserved to go in on level terms.
"Watford wasn't acceptable but tonight you can get some satisfaction out of the application of the players.
"I felt for the effort and commitment we put in we deserved something out the game.
"Credit to the players, they rolled their sleeves up and had a right good go."