The Ivorian winger has been linked with a summer move away from Elland Road as he has only one year left on his contract.
Championship rivals West Ham tabled a bid for the 23-year-old, although that move was swiftly rebuffed by Leeds' hierarchy.
Gradel scored Leeds' midweek winner against Rochdale and Grayson insists the winger is focused on giving his best for the club.
United's manager insists Gradel has not submitted a transfer request, nor has he indicated that he would like to move on.
"I don't know where people get this stuff from," Grayson told the Yorkshire Evening Post. "There's been no written transfer request and no unrest from him.
"You've seen from his performances in pre-season that he's focused on what he needs to do, and we don't want him to leave.
"People are out there to cause a bit of trouble and unsettle players but I spoke to Max about the situation and told him to focus on his football. That's all he wants to do.
"The only people who matter in this is myself, the chairman (Ken Bates) and Max Gradel."