Gray hopes that Sunderland boss Gus Poyet will allow Wickham to rejoin the Owls.
"I had a conversation with Gus and he said the boy Fletcher has tweaked his Achilles, so he is going to keep Connor for the next two or three weeks, so we will see how it develops," Clubcall.com quotes Gray as saying.
"At this moment we desperately want to bring him back but we have to look at other options to strengthen that area. He wants to come back, we definitely want him to come back. We will keep the door open but will look at other options as well."
Wickham scored eight goals in 11 appearances for Wednesday during his loan stint.