But the Warriors ran out 23-19 winners at the RDS when the teams met in September and held the Irish side to a 10-10 draw at Firhill in February.
Now Gray believes they can deliver another shock result against Joe Schmidt's outfit to put themselves in with a chance of silverware.
"We go in as underdogs but we have nothing to lose so we will throw everything at them and strive to make the final," said Gray.
"They are the best team in Europe. They are the current European champions and they are in another final so they are consistently very good.
"It doesn't come much harder but it is a do-able task. I think we'll be buoyed by the fact that we went over there earlier in the season and won at the RDS.
"I'm sure the guys will take confidence from that. We know how tough it will be but we are very confident and we will have a good crack at it."
Gray will depart Glasgow for Sale at the end of the season joining the likes of Federico Aramburu, Johnnie Beattie and Lineen through the exit door.
But the 22-year-old is determined to go out on a high and pay back the fans for all of their support by helping guide the Warriors to RaboDirect PRO12 glory.
"With people moving on, you want to give these guys something to leave with and a title would be brilliant," added Gray.
"I want to play as many games in a Glasgow shirt as I can before the end of the season. A win would mean another game.
"The club has given me a huge amount. I have met some great friends and the fans have been fantastic.
"I do owe them a lot and I thank them for everything."
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