Speaking in tonight's Yorkshire Evening Post Gray said: "If you don't defend you're going to concede and we aren't doing it well enough.
"It affects us in other areas because you have to track midfield players and the front men can stop defenders coming into the game.
"It's an all over thing. You can't point fingers at individuals. It's a team thing and the only way we will pick points up is by pulling together as a unit.
"The players have to look at themselves and realise they are in a battle.
"I said to them after the game that you cannot feel sorry for yourselves. Nobody else is.
"You've got to be honest and say we didn't deserve anything. The goals came quickly on Saturday and the players dropped their heads a bit.
"That's one of the problems when you're at the bottom of the table.
"Confidence does play a part and the quicker they get that back, the quicker we will get results.
"Performances like Saturday will not get us results. You can't afford to make mistakes like we did against Premiership teams. That's a fact.
"Bolton are a hard team to beat. They're an experienced side. They're strong and they make it difficult for teams.
"We've just got to keep working away to make sure we pick points up."