Leeds have scored 11 goals in as many league games this term, and Gray believes that Milanic will be hoping to solve that issue soon.
"We've had plenty of possession of the ball in recent games without actually creating a lot and I think that's something he'll be looking at," Gray wrote in the Yorkshire Evening Post.
"We've got to try and create a little bit more when we get in good areas. We got in some great areas against Sheffield Wednesday and against Reading as well but we never capitalised on it and that's got to be stepped up a bit.
"We've got to be a little bit more calculated in and around in the box."
Leeds travel to Rotherham United on Saturday.