However, the Whites boss insists that his side don't lack ambition, and has assured fans that no-one else will be leaving the club, despite reported Premier League interest in the likes of Robert Snodgrass, Ross McCormack and Tom Lees.
"It's not a sign of a lack of ambition that a club is signing one of our players," Grayson told the Yorkshire Evening Post.
"Our ambition will be shown by the speculation linking three or four others players with other clubs - that won't be happening and they won't be leaving. It's utter nonsense.
"Unless someone offers an absolute fortune, and any club is vulnerable to that, we've got no intention of selling any other player to any other club."
Leeds are currently 11th in the Championship, three points off the play-off positions.