Ray was not selected in the 2006 NBA Draft, surprising many Big East fans and some NBA experts. On July 6, 2006, he was signed as a free agent by the Boston Celtics. Ray was sent to the D-League Austin Toros, but was recalled after just two games there. He led the Toros in scoring in both games he played for them. During the last two months of the season, Ray began receiving extended playing time with the Celtics, and had two 22-point games and three others where he scored 20, 18 and 17 points. Ray was also fourth among rookies in three-point percentage. Despite a seemingly bright future in Boston, Ray agreed to terms on a $2 million contract to play in Italy, instead of having the Celtics pick up his $687,456 option.