'Miserable' Gray retires after Owls relegation
He was axed by manager Alan Irvine in the wake of a 5-0 defeat at Reading in February and made only two more brief appearances for the club before the end of the season.
"It came to my mind about six months ago," he said. "I sat down with my family and said I wasn't really enjoying it as much as I should be.
"I was finding it difficult to recover after games – that was the hard part – and maybe the disappointment of the last couple of seasons, (where) we have not been successful in the league.
"It takes its toll, it is not just about football, it takes over your whole life," he added. "I was going home after games and I was miserable. I am not that type of person. I got to the point where I wanted to start enjoying my life again. I will enjoy it more without the ins and outs of footballing life."
Gray, 35, initially joined the Owls on loan from Wolves last season but the deal became permanent last summer. He had two spells on loan with Leeds, under Kevin Blackwell in 2006 before he returned as part of the side relegated from the Championship under Dennis Wise.
It was during his lengthy association with hometown club Sunderland that Gray won three caps for his country.
"I have no regrets, I have had a fantastic career, and met some tremendous people along the way," he said. "I didn't want this to come out in the middle of a tough season. I waited until the end of the season and I had a chat with the manager. He wished me all the best and I think I have made the right decision and it's time to bow out."