Gray molasses is a powerful tool for sub-Doppler laser cooling of atoms to low temperatures. For alkaline atoms, this technique is commonly implemented with cooling lasers which are blue-detuned from either the D1 or D2 line. Here we show that efficient gray molasses can be implemented on the D2 line of 40K with red-detuned lasers. We obtained temperatures of 48(2) µK, which enables direct loading of 9.2(3)x10textasciicircum6 atoms from a magneto-optical trap into an optical dipole trap. We support our findings by a one-dimensional model and three-dimensional numerical simulations of the optical Bloch equations which qualitatively reproduce the experimentally observed cooling effects.