Wednesday substitute Chris Maguire, a 77th-minute replacement for Jacques Maghoma, went tumbling under a sliding challenge by Huddersfield centre-half Joel Lynch on the right edge of the penalty area in the closing stages.
But referee Graham Salisbury waved away the visitors’ appeals for a spot kick - Maguire was indignant having been harshly booked for simulation - and neither side could force the breakthrough after each squandered numerous chances.
“That’s the last three games where we have not had the rub of the green,” said Gray, whose side have now gone 10 league games without a win, drawing seven and losing three.
“That was a stonewall penalty. There was no way that was a dive by Maguire in the box. I can’t believe he’s booked him.
“I’ve looked back on it and it was a stonewall penalty. You want the right decisions. At the moment, we are not getting them.
“We can’t feel sorry for ourselves. We had two or three more opportunities to get our noses in front.
“The ball seemed to be bobbling around the six-yard box and we just wanted somebody to stick it into the net.
“I just cannot believe how the officials can get that wrong.
“I don’t know what we need to do get them three points. We have been let down by a big decision.”
Stevie May had earlier gone closest to breaking the deadlock for Wednesday when his rising shot struck crossbar and post before bouncing to safety and Wednesday winger Royston Drenthe’s late curling effort was brilliantly saved by Huddersfield goalkeeper Joe Murphy.
But Huddersfield created their fair share of chances. Second-half substitute Nahki Wells was twice denied by Wednesday goalkeeper Keiren Westwood, who parried a low angled shot moments after the Bermudan had stepped off the bench and later raced off his goalline to block a second effort.
Huddersfield winger Sean Scannell also went close when he drilled an angled second-half effort narrowly over after charging into the penalty area.
Town manager Chris Powell admitted his side had enjoyed a lucky break, but insisted they were good value for a share of the points.
“It was a great decision by the ref,” Powell said with a smile.
“Sometimes they go for you and I must admit, looking at my players, they turned away, but their players went for it, which is natural.
“I suppose we’ve had one or two ourselves this season where we’ve thought it was a penalty.
“I’m happy with a 0-0 and a clean sheet. It can be difficult for referees. It went in our favour, that’s all I’m saying.”
Powell’s side extended their unbeaten home run to six matches, but a point was not enough to lift either side into the top half of the table.
“Stuart will obviously feel a bit aggrieved at one or two decisions,” Powell added.
“But both sides had chances, a lot of attempts on goal, a lot of corners.
“We did have some good openings, the one with Nahki when (Kieren) Westwood made himself big, but Joe Murphy made a great save at the end to get us a point.
“They also hit the post on one occasion so it was end-to-end and I suppose, especially after our last two results when we conceded six goals, we get a clean sheet and a point and we start again.”