The 21-year-old was linked with moves to Bournemouth and Tottenham and has not ruled out the possibility of a move in January.
"Did I think I was going to leave Leicester? There were a few bids flying around," Gray said.
"There was interest and a lot going on. Obviously I was away with the Under-21s so that took my mind off it a little bit. But a lot was going on.
"Leicester sat me down and told me how they were going to use me and the impact they see me having on the team. But deadline day is manic and you never know what is going to happen.
"I am not happy with the amount of football I am playing. I respect the manager [Craig Shakespeare] and he picks his team.
"But I want to play as much as possible in the Premier League and at the moment that is not the case.”
Bournemouth manager Eddie Howe was watching from the stands as Gray starred in the England U21s’ 3-0 victory over Latvia on Tuesday night, but the winger says he will now ignore speculation over his future when Premier League action resumes this weekend.
"I have just have to get my head down and get on with it and come off the bench or whatever, play well in a cup game and give the manager a headache,” he added.
"But I just get so frustrated when I don't play and the manager knows I just want to play.
"I am not just going to sit there and say nothing. If I was that would be an issue. People misunderstand sometimes and think my morale might not be as good as it should be.
"But I just want to play football and when I'm not playing it's frustrating because I know what I can bring to the team.
"I respect Eddie Howe as a manager and it was nice to score in front of their fans. I was aware of their interest in the window but I am still a Leicester player at the end of the day."
It appeared significant that Gray did not smile after scoring for Aidy Boothroyd's team, having been recalled after appearing as a substitute in Friday's 1-1 draw in Holland.
He said: "You saw I am frustrated at the amount of football I am getting. All I can do is talk with my feet.
"I was happy to score and I was happy to contribute to the result. But the reason I didn't look so happy is because I am so frustrated. I want to play every week.
"The hardest part of football is the mental side. I've learnt over the last 18 months how to deal with the frustration of not playing. I want to play in every game and when I don't play I am disappointed.
"I have to work hard to not be disappointed all the time and try to get myself into the team."