Gray said: "I am very disappointed because we have kept four clean sheets in five games and then given away three very poor goals.
"You cannot afford individual errors against any team, especially a side like Southampton, and those two goals in the first half sapped our energy.
"The keeper has to do better and there is no hiding from that but now it is about how he responds. He had a difficult start to the season and came back very well so hopefully we will see the same reaction again."