User blog comment:IamJakuhoRaikoben/Chapter 366: 1000 Souls, Review./@comment-5598380-20140109213300/@comment-7418318-20140109215611

Gray did said he was going to avenge his parents. Not just his mother, but his parents.

Though it's still possible that Gray's father either wasn't his biological father or that Gray only thought his father died.