Despite Michail Antonio's third-minute opener, the Owls wrapped up their visit to Slovenia with a loss to the newly-promoted side having already recorded pre-season victories against Bury and York.
"You want to keep the winning mentality, of course you do, but the fitness of the players always comes first," Gray told the club's official website.
"The game was another good workout against a European side who play a different kind of football.
"But we adapted well, we kept the ball well and should have won in all honesty.
"But I am happy with the way the fitness of the lads is progressing."
Wednesday kick-off the new Sky Bet Championship campaign against Brighton at the Amex Stadium on Saturday, August 9.