With the 21-year-old out of contract in the summer, the striker's future has been the subject of speculation with the striker yet to agree a new deal at the Banks's Stadium.
Wolves, Derby County and Peterborough United are amongst a number of clubs to be keeping tabs on the Walsall forward.
The Saddlers are keen to keep hold of Grigg, with his recent goal-scoring form earning praise from boss Dean Smith.
Grigg is the club's top scorer this season with 10 goals, including a brace against high-flying Bournemouth on Saturday, and the Midlands side might struggle to resist an offer from the Championship in the January transfer window.
Grigg made his senior debut for Northern Ireland against Holland in June 2012 in a friendly match in Amsterdam.