Ex-United target Gray is out-of contract with the Eagles but they will be due compensation for developing the 23-year-old if he does move to a new club because he is under 24.
The left-sided winger has spent a spell on trial at Leeds and Charlton and is now reportedly at Blackburn as Palace hold out for a fee acceptable to them.
"This has dragged on a long, long time," said Curbishley.
"We made an offer for Julian, we've since increased that offer but we still have a different valuation to Palace.
"We made another attempt on Monday to conclude the deal but unfortunately it wasn't successful and I believe he's now gone to Blackburn."
Curbishley added: "He's in a really tricky situation because he's not technically with any club at the moment.
"But Crystal Palace are paying his wages and I believe that if nothing else is sorted out by the end of the month then he has got to go back to Selhurst Park.
"Our offer is there. It's been improved but Palace don't seem to want to do anything. It's been difficult.
"I just hope for the boy's sake that something happens sooner or later because he needs to be playing football."