Hammers boss Sam Allardyce reportedly made a bid of around £2.5m for the Ivorian earlier this summer.
The two clubs incidentally meet on Sunday in a Championship game and Grayson expects the 23-year-old to show the Hammers what he can do.
"Will he want to show West Ham what they are missing? Every time a player pulls on the shirt, you want him to play to the maximum of his ability - and that's the case with Max," the Leeds boss said.
"If he goes out there and scores a hat-trick and they come back in with three or four times the money they offered previously, then it'll be something to think about."
Gradel will return to the Leeds lineup after serving a one-match ban for being sent off in the 1-0 home defeat by Middlesbrough seven days ago.