Wednesday took a 15th-minute lead when Reds skipper Danny Collins was adjudged to have tripped Chris Maguire in the box and the striker despatched the penalty past Karl Darlow.
Forest equalised through Jamie Mackie but the visitors hit back in first-half injury-time through Lewis Buxton.
It got worse for Forest 12 minutes after the restart when Joe Mattock received a short corner from Maguire before slamming in a low shot from 25 yards to put the visitors 3-1 up.
Forest sent on Marcus Tudgay in the second half and it was the former Owls striker who reduced the deficit as he headed in Mackie's cross.
Collins then saw red with nine minutes to go for a poor tackle on Maguire, but Forest roared forward again and after Tudgay had been fouled 25 yards out, up stepped Jamie Paterson to curl home a brilliant free-kick and salvage a point for Forest.
"If you had said to me before the game we were going to get three goals, I would have said we would win the game," Gray admitted.
"I saw Forest play Millwall on Saturday and I felt they were there for the taking as they looked short of confidence.
"We were in total control and looked like we were going to score at will. We've been done on two crosses, two back-post headers and deja vu with the free-kick at the end - we had one at Leicester the other night. And then we gave Forest a chance to have a free shot at goal at the end."
Gray admits fatigue surfaced and was clearly visible in elements of Wednesday's performance and claims his side lacked the necessary experience.
"There were tired minds and legs," he added. "We had far too many players running with the ball instead of just passing and picking the 10 men off, but we went chasing another rather than just letting it happen.
"We probably needed just a little bit more experience on the pitch.
"After our third goal, we should have just managed the game and seen it out. In the end, though, we possibly could have lost the game."
Gray was gracious enough to concede that Wednesday may have been slightly fortunate to end the match with 11 men on the pitch.
"We might have been lucky with Jeremy Helan staying on the pitch and we might have been lucky when it looked like Llera had given away a penalty," he conceded.
Temporary Forest boss Gary Brazil was satisfied with the performance of his side although, like Gray, a little frustrated not to have won.
"I think we were worthy of the three points," he said. "We scored three good goals and I think we could have done something about all three of their goals.
"It is frustrating how many goals we are giving away and how many goals we have to score to win a game.
"I think if the game had gone a little bit longer we would have won. We were the team in the ascendancy, pushing for that fourth goal."
Brazil admits Forest's start was a disappointing one but is keen to take heart from the resilience shown by his side.
"We take a lot of optimism from how we finished the game and the quality of the goals, but it's just frustrating that we can't get those three points that gets us going again and we are desperate for a clean sheet."