Johnson has been at Hillsborough since September and was a regular in Dave Jones' line-ups before he was sacked earlier this month.
Wednesday sit in the bottom three of the Championship and Johnson's experience could be vital in keeping them up.
The former Birmingham City defender has suffered relegation three seasons running, once with Blues and twice with Wolves.
Gray feels he has performed well since joining the Owls and has been a good influence on his team-mates.
He told The Express and Star: "We are trying to have a bit of dialogue with Wolves and trying to extend his loan, but he is not our player.
"That will be down to Wolves and you never know what is going to happen in football.
"I think Roger is enjoying his spell. He hadn't played much football.
"Credit to Dave Jones for bringing him in; Dave knew the qualities he has.
"When Reda Johnson has been injured, Roger has been captain as well. He is very vocal in the dressing room and on the pitch."
Johnson has formed a good relationship with Glenn Loovens since the Dutchman joined in early December, and Gray is keen for that partnership to continue.
He said: "We've frustrated teams and they've ended up putting the ball long into the box - that's food and drink to Roger and Glenn.
"They know how to head it and clear it.
"I am a great believer in football intelligence and reading the game and they have that in abundance.
"They organise around them as well, pulling players around and they make the right decisions. They enjoy defending."
Meanwhile Wolves manager Kenny Jackett, who excluded both Johnson and Jamie O'Hara from his squad at the start of the season, says the situation is in Wednesday's hands.
He said: "With the change of manager we are probably not expecting any developments until the situation settles down.
"He has played regularly and even with the change of manager he played and has also been captain. He has been playing right-sided centre-half under Stuart Gray.
"It is in their hands - if they see it as something they want to go through with I am sure they'll approach us. Otherwise he becomes our player when he returns."