A number of former Crewe players have recently come forward claiming that they were abused by Bennell, who worked as a junior scout and youth team coach at Crewe, Manchester City and Stoke City among others.
Bennell was arrested in 1994 for raping a British boy at a football camp in Florida, and Gradi - who was manager of Crewe from 1983 to 2007 - insists that that was the first he had heard of any abuse.
"I would like to express sympathy to the victims of Barry Bennell not only at Crewe Alexandra, but at other clubs in the North-West," he said in a statement.
"The first I knew of Barry Bennell's crimes was when he was arrested in the United States in 1994. I knew nothing of his crimes before this time when he was employed by us. No one at the football club knew of Bennell's crimes until his arrest in 1994 and his subsequent prosecution in the United Kingdom.
"The football club also co-operated fully with the authorities in 2003. The club are in the process of a review and I won't be making any further comment until this is finalised."
Bennell was jailed for nine years in 1998 for sexual offences against children.