Dorian Grey is most certainly an anti hero. Dictionary.com defines an anti hero as "a protagonist who lacks the attributes that make a heroic figure, as nobility of mind and spirit, a life or attitude marked by action or purpose, and the like."
Dorian is most certainly an antihero by these standards. He is not noble because he finds that he can act in a manner that society does not respect and that his portrait will bear the physical burden. He embraces his ability to secretly misbehave, whereas a true hero would know that those actions were wrong and stay on the right track. Another consideration is that he has no true purpose at all. He drifts through life being a hedonist, hoping to help no one and, lease of all, himself.
Dorian Grey is an excellent example of an antihero.