Alessandro Del Piero will play for the Delhi Dynamos and will take up an ambassadorial role in the Indian Super League
Leicester have signed Argentina international midfielder Esteban Cambiasso on a one-year contract.
The 35-year-old made 10 appearances and scored once since rejoining the club in the summer.
"Andy is an excellent professional and we wish him well at Bradford," Leeds boss Neil Warnock told the club website.
Gray also had a spell with the Bantams earlier in his career, playing 81 games and scoring 21 goals between 2002 and 2004.
Gray said: "I wish Leeds every success and hope the club win promotion back to the Premier League."