Gray had "an amicable exchange" yesterday with the Leeds board and was given the opportunity to stay on the coaching side, but instead accepted the offer of consultant to the board on footballing matters.
Chairman Gerald Krasner confirmed the club will not be rushed into an appointment, with Crystal Palace manager Iain Dowie, Wigan's Paul Jewell and Stoke's Tony Pulis all recently linked with the post.
Other Hills candidates include Ronnie Moore (14/1), Walter Smith (20/1) and former boss Howard Wilkinson (25/1).
Meanwhile Leeds are 12/1 to win the First Division title with Hills, who make them 3/1 to be promoted, 6/1 to be relegated, 4/11 to finish in the top half and 2/1 the bottom half.