Leeds went out to a David Ngog strike on the hour after having a controversial goal disallowed early on.
Jermaine Beckford had put the ball into the back of the net inside 15 minutes but the flag went up for offside.
Luciano Becchio was closest to goal and deemed to interfere with the ball as it crossed the line.
"The referee thought Becchio interfered with play - I haven't had a chance to see it yet," said Grayson when asked his reaction to the official's decision.
"It's one of those things, the decision can either go for you or against you and tonight it went against us.
"It was a big turning point in the game. I thought we were excellent, we created some really good chances but sometimes you just don't get the breaks."
ChallengeJavier Mascherano had a hand in Liverpool's goal after his earlier challenge on Jermaine Beckford which went un-noticed by the referee.
Grayson shrugged off any suggestions he should have been penalised, saying: "Tackles are there to be made. He's that type of player.
"Again, sometimes you get yellow cards, sometimes you get red cards, we won't complain about that.
"What I will say is that our players put in a fantastic performance against a top team.
"We gave them a real test tonight and the players can be proud of what they've done, as the fans can be proud of their achievements.
"Unfortunately, we just didn't get the win that we could have had."
Asked if Tuesday's performance was encouraging for his side's League One promotion hopes, he said: "We want to be out of this division, tonight just shows what we can do."