Maguire has been in the middle of a transfer saga linking him to both Manchester United and Manchester City all summer.
United are understood to have had two bids rejected so far, with the latest reportedly worth £70 million.
Maguire's team-mate Gray was asked about the situation and responded with a reassuring message.
"Harry is Harry," he told the Leicester Mercury.
"He's chilled and relaxed. He's concentrating on training every day for the season coming.
"He's played tonight [against Cambridge], got himself a goal and he's fine; the team is fine.
"I don't think he's disgruntled or anything, so there's nothing to worry about.
"Harry's just getting on with it."
It remains to be seen if United will return with a third offer for the England international defender before the window shuts in two weeks.
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