Gray returned to the Rovers side in the previous Carling Cup round against Huddersfield Town and he has kept his place for the four Premiership games since, three of which have ended in victories.
Gray said in the Lancashire Evening Telegraph : "I had a fantastic time at Leeds, but if I'm honest I think the Premiership is where I belong at the moment.
"I didn't know if I was going to end up back at Leeds in the summer or get my chance again at Blackburn but things are going great at the minute.
"It was important to go out on loan because first team football is what I've been involved in right the way through my career and when you're not playing you get a bit disheartened.
"It's alright coming in training every day and I did keep a smile on my face and work hard, but when you've got nothing to look forward to at the weekend it gets a bit disappointing.
"It's all about playing first team matches so when you're not you've maybe got to look elsewhere and that's what I did.
"The lads made me welcome which was really pleasing and I fitted in well. I really enjoyed my time there and got some first team matches under my belt again, so I came back here optimistic."
The 31-year-old left-back helped Leeds to a 14th place finish in the Championship last season.
Gray added: "Kevin Blackwell's got a great squad of lads there and with the fan base they have there it's a huge club.
"There's only one place that they should be, which is the Premiership, but I think we've said that about a few clubs over the last five years or so.
"It's easy saying it but they have to go out and prove that they deserve to be in the Premiership."