Gradel said: "I've been very happy here. The players, manager, staff, and the fans have made it very easy for me.
"I'm happy because I've been playing football and I would be happy to stay. I need to speak to my club and the manager at Leicester, and we will see what is the best thing for me to do going forward.
"I don't know what Leicester will do. I just want to play football, but any decision isn't down to me."
Gradel has made four league appearances from the substitutes' bench for Leeds since arriving on October 18 and made his first start for Grayson's side against Grimsby.