"They defended very well and at the end we were not good enough to win the game."
Rangers top scorer Dexter Blackstock had a goal ruled out for offside in a game that saw home fans claiming the flag should have gone up for both of Sunderland's goals.
But Gregory, whose side's five game unbeaten run had ended at home to Coventry on Saturday, said: "I've seen replays and they might be marginal but I've no complaints.
"It would be clutching at straws looking to blame the linesman or referee.
"Sunderland are an experienced side. They have a lot of players who have just come out of the Premiership.
"Graham Kavanagh controlled the game showed his knowledge, experience and ability.
"We gave it our best shot, but we weren't good enough.