The former Southampton boss was given responsibility for 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 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 tonight 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 tonight 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 evening. 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 tonight, 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."
Leicester's first defeat in three matches meant they surrendered their three-point lead at the top of the Sky Bet Championship.
And manager Nigel Pearson, who watched the game from the stand after having knee reconstruction, bemoaned the performance, saying: "We got off to a good start and didn't back it up. I had to change the formation because of our inability to get back into a shape quick enough.
"We conceded two poor goals from our own perspective, but they would probably argue they were two good finishes.
"We should have managed the ball better, but we gave them something to build on, hang on to. Although we enjoyed possession, we didn't really look as dangerous as we should have done."
But Pearson insisted complacency was not an issue, adding: "No complacency.
It's a word people overuse. No complacency. We had too many players having off days, if you like. We had a number of players that really struggled to reproduce levels of performance we expect."