The Minstermen lost their opening day game 1-0 as they made an unwanted start to their second National League North season.
Gray said his side were worthy of taking something from Victory Park.
But he believes they needed to bide their time to try and break the Magpies down.
York now welcome Stockport County on Tuesday night in a big early season match.
Gray said: “I don’t think we deserved to lose but you have got to take your chances.
“We weren’t patient enough after half-time. We needed to be more composed and not just go direct.
“We controlled the first half and should have scored. You could argue we should have had a penalty too.
“We hit the woodwork twice but that’s this league - if you don’t take the opportunities when they come your way, the opposition will punish you.”