Grayson is keen to bring Gradel back, with a loan until the summer or a permanent switch two possible options.
Leeds' manager admits discussions are continuing, although he is unable to provide guarantees that Gradel will be returning.
"Talks are ongoing," he told the club's official website.
"He's Leicester's player, they were good enough to let him come here for a period, and we're talking with them.
"We're looking to see if something can be done, whether that be an end of season loan or a permanent I don't know. We'll see how things go."
Leeds' League One form has faltered of late and Grayson would like to bring in up to two fresh faces before the window closes.
"We're ongoing with things both in and out," he continued.
"I would like to bring in maybe one or two faces and there could be one or two go. Hopefully by the time the window shuts we might have a few fresh faces for the final push."