The Yorkshire club must overcome a 1-0 deficit in Thursday's semi-final second leg at Elland Road after the defeat at The Den.
"I thought it was a good performance without possession of the ball, we worked hard, looked organised and were difficult to break down," said Grayson.
"With the ball, we possibly could have played a bit better, but it's a play-off semi-final, it's hurly burly with a hostile atmosphere and you're going to be on the back foot at times, but I thought we defended ever so well.
"But in the attacking side we were probably a bit short of what we are capable of doing. I said that if we we're still in the tie after the game then we can turn it round, and we still are in the tie.
"We've got 90 minutes to turn a 1-0 deficit into a positive for us and we've got players that are capable of doing that."
Kenny Jackett, the Milwall boss, warned his side against complacency.
"It's all set up and we know we've got to go to Yorkshire and play right to our maximum if we want to go through," he said.
"These play-off games are very tight and this one is no different. It was a very good clean sheet. The back four kept a very good Leeds frontline quiet and it was key.
"It's very tight, but there's no doubt that today has helped us slightly but we need a big performance to go through to Wembley."