Grayson saw his side follow up an opening-day stalemate at home to League One title favourites Wolves with a Capital One Cup success over local rivals Blackpool.
And a point apiece at the New York Stadium was perhaps the right result following an entertaining game which neither side deserved to win - or lose - with Bailey Wright's second-half header, which hit a post, the nearest either team came to a goal.
"This has been a very tough week but after three games and three clean sheets I am very pleased," Grayson said.
"We knew it was going to be a tough game here because Rotherham asked a lot of questions of us. I thought we played some good stuff, passed it around well, hit the woodwork and the 'keeper made a couple of good saves, and I am pleased with it.
"If you don't win games then keeping a clean sheet and getting a point away from home is valuable, and could prove valuable come the end of the season."
Grayson continued: "The three clean sheets in a week gives us a platform to build on, but I just think we are not firing well enough in the final third and not asking enough questions of the opposition.
"Pre-season is about getting your shape and organisation and the sharpness comes as the games come along, and goals and opportunities will come as the games come along, but at least we are keeping clean sheets and we are hard to beat because if we didn't stand up and be counted then here we would have got beat."