The cornerback, who signed a one-year contract with the AFC East side in April, missed the majority of last season for the Atlanta Falcons with a torn Achilles.
Clay told the South Florida Sun Sentinel: "Every day Brent Grimes does something where we're like, 'that guy is a freak athletically'. Blows my mind. He has the quarterbacks saying, 'I'm not going to throw to that guy'."
Grimes spent six seasons with the Falcons before joining the Dolphins.