The Whites could only draw 1-1 with Millwall in Thursday's League One play-off semi-final second leg and crashed out 2-1 on aggregate.
After Jermaine Beckford had missed a penalty for the hosts, Luciano Becchio gave them the lead on 53 minutes but an equaliser from Jimmy Abdou on 74 minutes silenced a vociferous Leeds crowd and proved enough to take the Lions to Wembley.
After the match, Grayson revealed he and chairman Ken Bates had already planned for the eventuality of a third season in the third tier, but felt his side deserved to go up after losing only two of their last 17 league matches.
Grayson said: "It's a bitter pill to swallow. The players were outstanding tonight, we gave it a right go.
"We limited Millwall to very few chances and had the momentum, but probably just lacked a bit of quality in the final third to really test the goalkeeper.
"We're hugely disappointed. It was a great atmosphere and the fans deserve to go up, but the players can be proud of what they've achieved."
Grayson added: "I thought we'd go on and get the winner, but now I'll sit down with the chairman.
"We had plans for Championship football and League One football, we know where we are with players and budgets.
"So we'll get over it, start again and give it a real good go for automatic promotion next season."