Grayson scored four goals in 188 league appearances for the Foxes between 1992 and 1997.
Having categorically denied any prospective move to the Walkers Stadium, Grayson added that preparations for the Championship season with Leeds are going well: "We like to think we know what we are doing and where we are going with our pre-season games. We have four new players in and are looking to integrate and settle them quickly into the squad.
"It's all about being ready for your first game of the season. We have five and half weeks to do that. Hopefully, we'll have them fit and strong, and ready to make a really good challenge in the Championship this year."