The Black Cats have now slipped to 20th in the Championship standings after ex-Sunderland man Daryl Murphy’s late goal gave Forest a fourth win in seven league games.
It was an improved performance by the Wearsiders from the abject display against Sheffield United at the weekend, but they could not find a way past the east Midlanders’ rearguard.
It was their fourth straight loss but Grayson felt they did enough to get something out of the game.
“It’s probably the most frustrating result that we’ve had because we didn’t deserve to lose that game tonight, without a shadow of a doubt,” he said.
“I thought the players responded from Saturday, they showed a lot of bravery with and without the ball, they were confident, so it is a kick in the teeth when you lose a game like that.
“We didn’t get the breaks when we needed things to fall in the 18-yard box, and then the one mistake that we made throughout the whole of the night, we got punished for.”
Port Vale boss Neil Aspin is expected to choose from an unchanged squad for the home game against Exeter.