Keys announced his resignation on Wednesday night, following the sacking of Gray on Tuesday.
Barney Francis, managing director of Sky Sports, said: "It is disappointing that Richard's career at Sky should end in these circumstances."
He continued: "However, Richard recognises that his comments at the weekend were unacceptable and we note that he has made a full and public apology. We thank him for his time in helping make Sky Sports the success it is today."
Keys said: "I am deeply sorry for my remarks and the offence they have caused; it was wrong and should not have happened. I have thought long and hard and reached the decision that it is time to move on."
His resignation came as Gray apologised for his role in the row, saying he was "devastated by losing the job that I love".
The pair were dropped after they made sexist remarks about assistant referee Sian Massey before the Premier League game between Wolves and Liverpool at the weekend.
Sky Sports went on to fire former top striker Gray after new evidence of "unacceptable and offensive behaviour" emerged.
A statement released by Gray read: "I am very sorry that certain comments made by me have caused offence. Such comments were made off-air to work colleagues, and were, of course, never intended to be broadcast."
Keys also apologised publicly, telling the talkSport radio station before he resigned: "Our prehistoric banter is not acceptable in a modern world."