Leeds' last win was the 3-2 home victory against Fulham in December and they have not won away since beating Charlton in November.
"The players know the financial situation, but the best help they can be to the club is by getting us out of the current League position we are in," Gray said in the Yorkshire Post.
"It is up to them to go out and perform. They are concerned by what is going on but they should just be interested in playing football.
"There are a lot of people who work at Leeds United, not just me, the coaching staff and players and I worry about them as much as anyone.
"If anything happens I am sure the players would find employment. We are all concerned about administration but I have spoken to the players and told them exactly what I think. The situation won't be helped if we don't start winning matches.
"It is up to the acting chairman and the players whether there is a wage deferral and I am sure they will be in discussions together and we will wait and see. I will wait and see what the chairman wants to do but I think everybody would help out.
"We cannot just bury our heads in the sand, we must stand up and be counted if the club is going to get out of its financial situation. On the training ground there is too much talk going on about it and not enough about football."