The Cobblers have failed to find the net once in their opening 180 minutes of the season and Gray admits that he is concerned.
He said: "We had some chances but when they arrived we couldn't take them and our lack of goals is a bit of a worry.
"There were some positives to emerge from the game and I thought in places we played well but the goals came at a bad time for us.
"Obviously the league is the most important thing but we're still disappointed to be knocked out and in a game we might have got something from."
Source: Team_Talk