The 21-year-old has scored 19 goals for the League One outfit this season, but his current deal is due to expire at the end of this campaign.
His agent Dan Wood, however, has insisted that the highly-rated striker is focused on his form for Walsall.
"It is understandable that Will has caught the eye with his performances this season, but all he is focusing on is playing well for Walsall, and continuing the club's push for promotion," Wood told Sky Sports News.
"We are having discussions with Walsall, and those talks will continue."
Grigg is currently nursing a hamstring injury.