Issue: Readers don't empathize with your morally grey character.

Read: Your character isn't likable.

Suggestions (choose some, not all of them):

Go for first person perspective instead of third person. It brings your reader deeper into the character's head and actually makes it easer to empathize even with unlikable characters.
Surround the character with even worse people. Think Katniss Everdeen from The Hunger Games: She's not exactly a nice person. But there's so much bad stuff happening around her that we actually start liking her.
Give the character a few entertaining traits. He could be funny, smart, inventive, speaking the truth when others don't, ...
People care about people who care. Make the character love somebody. No matter how evil he is (Snape), people are going to melt.

Issue: Your readers don't want the character to succeed.

Usually we root for the protagonist. But if your protagonist does things the reader does not agree with, your reader might actually eagerly wait for the character's punishment. Think Joffrey from Game of Thrones: People did like to watch him, they did like to follow his story. But not because they wanted to see him win. They celebrated when he finally died a painful death. Now, Joffrey didn't have many redeeming traits, so he wasn't exactly grey. But there's other examples as well: 13 going on 30 is a great example of a protagonist that isn't evil by any means, but we still are waiting for her to get punished or to at least learn how wrong she is.

So when writing grey characters, you need to consider that not everybody might root for their cause. People might be looking forward to the character redeeming themselves.

Suggestions:

Just keep in mind that what the character wants might not be what the reader wants and give the reader plenty of reason the follow the story even if they aren't really interested in what the protagonist wants. Instead, you can just assume that what the reader is interested in is how the character develops. This brings me to my next point:

Issue: Readers expect growth.

If a character has very visible negative traits (and if they are an important character), the reader might expect for the character to eventually grow out of these traits. They might be very diappointed if the character never learns to be a better person or if they don't at least get punished for their evil acts.

Suggestions:

Make sure the character develops a lot. Don't give them a flat arc. I don't think you need to correct every trait, just make sure that they end up a slightly better person in the end than they were at the beginning of the story.

Not everybody might agree on how grey your character is.

Maybe some people think killing is okay, as long as it's because you're protecting your loved ones. Another person might think killing is never okay. People might have very different ideas on what exactly is good and bad about your character. I believe it's more agreeable to judge a completely good or completely bad character, but it's much harder to agree when the character is somewhere in between.

Suggestions:

I'm not sure about this one, but I'm going to write how I would deal with this.

If your character is neither absolutely black nor absolutely white, neither should be your moral standards. Make the story full of different opinions, but don't neccessarily decide on which opinion is the best. Make it so the readers can have different views and argue. Be open towards people with different opinions in your writing.

For now, this is all I can think of. I believe, grey characters are the best, so go for it :-)

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