The England U-21 international has been linked the likes of Manchester United, Tottenham, Newcastle and Southampton recently.
Gray, however, believes he should stay with his hometown club and that is also what Milner wants. "I've spoken to him about it and he's told me he doesn't want to go anywhere," said Gray in the Yorkshire Post. "He likes playing for this football club and he feels he is still learning the game.
"At this stage in his career I feel he would be right to stay with Leeds in Division One. I can see him being a top-class footballer but he is also a sensible lad and he knows he is only learning the game. He has belief in the football club that he will end up playing in the Premiership again."