Leeds managing director David Richmond said earlier this week that the board would decide within the next 10 days on the manager's position.
And on-loan Arsenal winger Pennant believes Gray is the man for the job.
"The club was struggling and it was a hard time when he came in," he said. "It was difficult for him to pick the club up at that time.
"He is Leeds through and through and a great manager. He would be perfect for the job. He is a great manager and loves the club.
"He says we will definitely bounce back from this and if he gets the job it will be good for Leeds and the fans."
And on-loan Arsenal winger Pennant believes Gray is the man for the job.
"The club was struggling and it was a hard time when he came in," he said. "It was difficult for him to pick the club up at that time.
"He is Leeds through and through and a great manager. He would be perfect for the job. He is a great manager and loves the club.
"He says we will definitely bounce back from this and if he gets the job it will be good for Leeds and the fans."