Wickham has scored six goals in eight appearances during a second loan spell with Wednesday and grabbed the equaliser in Sunday's 1-1 draw at Charlton Athletic.
The 20-year-old has struggled to establish himself at Sunderland since a 2011 move from Ipswich Town and Gray confirmed talks are ongoing about an extension for Wickham.
"They are happy for him to stay and play," said Gray. "The problem is you are only a phone call away from losing him.
"The board are in dialogue with Sunderland about keeping him.
"Connor wants to stay, he wants to play week in, week out. But who is to say someone won't come in with a big offer for him?
"He has done ever so well here, he is buzzing with confidence at the moment, and credit to him because he has made the most of his spell with us."