The League One outfit are among a number of teams interested in the 36-year-old following his release from Bolton Wanderers.
"We're still waiting to see where Kevin Davies is at," Grayson told the Lancashire Evening Post.
"It will come to a point where he has to make a decision, and we do as well. We are certainly still in with a great shout of getting him, although there are other teams involved too."
Davies scored six goals in 38 games for Bolton last season.