Former Southampton boss Gray was given responsibility of first-team affairs after Dave Jones was sacked on Sunday, paying the price for a woeful start to the season that accrued only one victory.
Another miserable night looked on the cards for Wednesday when Anthony Knockaert fired the Foxes into an early lead, but two goals from on-loan Sunderland striker Connor Wickham ended a sequence of three consecutive defeats.
Gray, who is set to sit down with chairman Milan Mandaric on Wednesday to discuss his position at the club, said: "We are disappointed for Dave. I am very grateful, honoured and pleased to take charge of the team for this and that is all it was.
"The chairman has told me there are about 40 applications and I can understand why because it is a fantastic football club with a big fan-base and a huge stadium.
"You saw there that if the players give 100 per cent commitment, the crowd get behind them.
"Any manager that is out of work, and in work, would be interested in this football club."
Asked if he was interested in filling the vacant hotseat, Gray responded: "I am very disappointed Dave has gone because I worked with him at Wolves and Southampton.
"A lot of players feel they have let Dave down because he has brought them in.
"I can understand why the chairman has done it because our results were not good enough.
"I've been asked to take charge of the team and all I said to the players is 'give 100 per cent'. You might have to lift the fans because the mood might be quite sombre.
"The chairman just asked me to get the team prepared for this. I am going to enjoy the evening and wait until I sit down with the chairman before I make any statement."
Gray was delighted with a much-changed Wednesday's response after falling behind early, with Wickham at the heart of his side's second win of the season.
"I made changes, I brought some players back in. It was a bit of a gamble because they haven't played much," he said.
"It was a special night, there was a special atmosphere. I would like to thank the players for their commitment and the fans.
"All credit to the players. Connor took his goals fantastically well. He is a man now.
"He is stronger, fitter and his ball retention is better. He is not our player so we run the risk of him getting called back by Sunderland."
- Sports & Recreation
- Connor Wickham
- Anthony Knockaert