He also believes the Arsenal defeat will not have dented confidence that he and his players can keep the club in the Premiership. After the weekend results, The Whites are now 18th, just 2 points behind Manchester City with 4 games to go.
"Friday night was a bit of a disaster, but when we got in the dressing room after the game we knew that sometimes in football you have to hold your hands up," Gray said on the programme. "The players will forget about Arsenal, because they know they were playing against the best and we caught a certain player (Thierry Henry) on a good night.
"We've got a chance. Football is a funny old game. Look at Blackburn, when we beat them it was all doom and gloom and now they've bounced back with two wins and pulled away from the bottom. But I am surprised at Man City. When I watch them against us, I still thought they had some very good players. And even after that against Tottenham, they had enough opportunities to win the game. And Leicester are still in with a shout as well."
United are without suspended striker Mark Viduka for Sunday's crucial clash against Portsmouth but the Elland Road caretaker boss insisted that the mood around the club will be positive despite their problems on and off the field this season.
"I do think the players bother about it to an extent, but I've just go to try and impress upon them that they're paid to play football and they've got to do that," he said. "They can't dwell on off the field stuff, especially with the situation we're in. They've got to train day to day and prepare for matches and bar the other night when we came up against an exceptional side, they've been performing quite well.
"It's a big blow losing Viduka. He's a big player for us and it was such a foolish sending off and he realises that. But we've got to get on and cope without players, we've just got to go and try and win matches.
"It's a huge game for us, it's a big game for Portsmouth, but it's vital we win that match. Seth Johnson and Eirik Bakke won't play and Stephen McPhail might not be fit, but these things happen at this stage of the season when you get injuries and suspensions and you just have to get on with it and fo the best you can. It's no good feeling sorry for yourself."