When the gray man says "Your God is dead" it's just spelling out what the whole movie is about. THE MOVIE IS ABOUT LIGHT. The invention of the light bulb started to infiltrate society in ways that eradicated a lot of myths about where light comes from. Every shot of the movie has a hint at that: an old Victorian reading room with unlit candles but light bulbs instead. Her bedroom has a zoetrope on the dresser but a light bulb in the lamp. And then, when she gets her electro shock therapy, we never see the doctor OR Emily, we only see a light bulb. Then the doctor says "People are afraid of what they don't understand. Electricity is our friend. It's just light." And that's the moment Emily becomes crazy. Then she spends the rest of the movie looking for light but never finds it. Why? Because the light is supposed to be God, according to Sylvia. But as the gray man says in the mirror "Your God is dead". When he says that, he means EVERYONE'S god. All religion is being explained away by science and if you hang on to this outdated notion of light, you'll be left in something blacker than black, darker than dark - and that's "nothing".