I have been trying to find an example where $f$ is continuous on $[0,1]$ and is differentiable on $(0,1)$, however, $Df$ (gradient) is not integrable on $[0,1].$
I thought of one example: $f(x,y)=arctan(xy).$ Am I right? Some more examples more help.
$\newcommand{\Reals}{\mathbf{R}}$Some hints, on the assumption that "integrability" means "Riemann integrability". (Throughout, $f$ denotes a continuous, real-valued function on $[0, 1]$ that is differentiable on $(0, 1)$, and $g$ denotes an arbitrary function on $[0, 1]$.)
Rationale: If you construct a function $f$ such that $g := f'$ does not satisfy a necessary condition for integrability, you're done.
Rationale: If you construct a function $f$ such that $g := f'$ satisfies a sufficient condition for integrability, you do not have a counterexample. In retrospect, this means that if you start writing down differentiable functions naively, you're sort of unlikely to stumble across an example of the type you seek, because $f'$ is likely to be integrable.
Unfortunately, the derivative of this $g$ is integrable. Fortunately, a suitable modification (there are multiple possibilities) will produce a function of the type you seek.
(Limiting this answer to the preceding hints is my attempt to help you think systematically without depriving you the pleasure of finding an actual counterexample yourself, and thereby seeing why your function is a counterexample.)