
The Lilywhites manager felt the 2-1 defeat was harsh on his side, with him arguing that a draw and a replay at the Emirates Stadium was the least they deserved.
“Arsenal will have known they were in a game,” Grayson told the Evening Post.
“In the days leading-up to the game I kept saying to the players make sure you have no regrets leaving the pitch.
“They played very well, made the club very proud.
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“The atmosphere was fantastic, the supporters appreciated what we tried to do and how well we played.
“Sometimes in football you don’t get the rewards you deserve.
“We’ve had two home games on the trot where we have been denied by a last minute goal, that’s hard to take.”
North End went to attack the Gunners from the start, setting-up in a 4-4-2 shape.
Callum Robinson put them in front early with his sixth goal of the season.
Chances fell their way in the first half to stretch the lead, those proving costly as the Premier League side equalised 50 seconds after half-time.
Olivier Giroud’s goal, which deflected in off Alan Browne, won Arsenal the game in the 89th minute.
Grayson said: “We were brave with our formation, I wanted us to take the game to them – we were not there to make the numbers up.
“I don’t know how many teams would play 4-4-2 against Arsenal in the Premier League. When you looked at their side, it showed how seriously they were taking it.
“A lot of people expected more changes but they kept it strong.
“We wanted to have a go at them, there were things we had worked on in the week in training and those instructions were carried out to a man.”
North End will be without Ben Pearson for the games against Brighton and Aston Villa after the midfielder was booked for the 10th time.
That was one blot on an otherwise outstanding display by the 22-year-old.
“Ben epitomised what the team was all about with the energy and quality he had,” said Grayson.
“I thought he was excellent and although he got booked, other challenges he made were very good.”