Villa ended a run of four straight Premier League losses with a 0-0 home draw against Southampton on Saturday, but still sit just five points above the relegation zone.
Lambert also saw his team struggle last term and Gray - who enjoyed two spells as a player at Villa in the 1970s and 80s - feels they have not progressed under the Scot's stewardship.
Gray told talkSPORT on Monday: "I'm worried about Villa. I'm worried about their short-term future and I'm worried about their long-term future.
"Paul Lambert is running out of excuses for me.
"Villa are no better off than they were 12 months ago, maybe even worse. They are no better off than when they decided to sack Alex McLeish. In fact, in terms of points, they are worse off.
"I don't know what kind of progress Villa think they've made in the last couple of years, but on the pitch they've made none.
"They've bought (in) too many young players. That's fine if the young players are good enough and they're going to step up to the plate, learn and grow, but there's always something wrong with a team that can't play at home.
"Whether they're shrinking violets or mentally fragile, I don't know, but they've lost ten home league games this season and no Villa side has ever done that.
"You don't have 30 per cent of the possession at home to Southampton and then turn around and say that was a brilliant point. You just don't."
Villa's ownership was put into question on Sunday when chairman Randy Lerner refused to rule out reports he was set to sell the Premier League outfit.
In a statement released by the club, Lerner said he would address talks of a sale "after the season".
Gray thinks Lerner wants out and that the American, who has been at the helm since 2006, will sell if he receives a reasonable offer.
"We're very aware that (it) looks as though Randy Lerner has fallen out of love, not just with Aston Villa but with football in general," he added.
"He spends less and less of his time watching it and less and less of his time at Villa Park.
"I think if Randy gets an offer of anything like the kind of money he wants he will be gone.
"If you're not selling the club, you come out and say that, that you're not selling now, not selling in the summer, not selling in five years.
"I think he's ready to go and if the offer is good enough he'll be off."
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