The Whites' 1-1 play-off semi-final second leg draw against Millwall in front of a packed Elland Road on Thursday night means Leeds face another campaign in English football's third tier after they lost the tie 2-1 on aggregate.
Jimmy Abdou's equaliser at Elland Road ensured Millwall a trip to Wembley to face either MK Dons or Scunthorpe United.
Luciano Becchio had earlier put Leeds 1-0 up on the night and 1-1 on aggregate after Jermaine Beckford had missed a penalty.
Beckford has had a superb season, netting 34 goals in all competitions, but you can't pass up a golden opportunity like a penalty in such a crucial match.
A big shout needs to go out to the Leeds fans, who will be feeling devastated today as they come to terms with the aggregate defeat.
The 37,036 who turned up created a superb atmosphere and as Grayson said after the match, the fans "deserve to go up".
I feel Grayson is the right man for the job and can lead United to promotion despite the crushing setback. He led Blackpool to promotion to the Championship, ironically via the play-offs, two years ago and kept the Tangerines in the second tier last season.
It's clear Grayson is now targeting automatic promotion next season rather than the lottery of the play-offs.
The Leeds chief said: "We'll get over it, start again and give it a real good go for automatic promotion next season."
Grayson arrived at the club in late December after the departure of Gary McAllister and since then Leeds have played 27 matches in total (League One and the play-offs), with 16 wins, five draws and six defeats in total, which is a good record.
As we have seen with the likes of Nottingham Forest and Sheffield Wednesday, big clubs coming down from the Premier League and Championship have no divine right to walk the league and win promotion. Forest were in the third tier for three years before they went up last season.
Promotion will be tough but I don't think Leeds have anything to fear.
United have quite a settled side and with a few additions, perhaps Sam Sodje from Reading, I think they will have a real chance next season.
But can Leeds keep hold of striker Beckford and young midfielder Fabian Delph? Hopefully both will stay as it would improve Leeds' promotion bid and the Whites can go up.