The Northern Ireland international returned from a hamstring injury to put Walsall in front just before the hour mark at Glanford Park - becoming the first Saddlers player to hit 20 goals in a season since Jorge Leitao in 2000/01.
It put the midlands club on course for a place in the top six until Niall Canavan headed an 88th-minute equaliser for the hosts to leave Dean Smith's side one point adrift.
"It's mixed emotions," Grigg told Walsall's official website. "I'm obviously happy to have got my name on the scoresheet, but I would have swapped it for the three points.
"We know that we weren't good enough in the first half, but we controlled the game after the break and once we got in front we had chances to further increase our lead, which we couldn't take and we allowed them back into it near the end.
"It was disappointing, but we're still in it and still very much alive. It's 14 games unbeaten for us now and we certainly have the momentum. The pressure is all on the likes of Swindon rather than us.
"We've worked hard to put ourselves into this position and we won't give it up without a fight. We're more than capable of winning our last two games and it would be nice to go into the final day with something on the game for the right reasons. What our experience over the past couple of seasons has taught us is how to deal with the pressure."
He added: "To get 20 goals is an achievement that I am really proud of. I've set myself targets throughout the season and it is nice to reach 20. Hopefully there are still a few more to come from me this season."