Gray left Leeds for Nottingham Forest in 1998 having made only 16 starts, including the 1996 League Cup final against Aston Villa.
He said in the YEP: "I've got obvious family connections to the club, I supported them when I was young and I still live in Leeds. Most of my friends are fans. It almost goes without saying that I don't want them to go down.
"I never thought it would get to this stage, their squad always seemed too good to me, and I think they'll get out of it. But it's going to be close, and relegation would be a massive blow.
"Of course it disappoints me but at the same time I'm a professional footballer and I've got a job to do on Saturday. There's no room for sentiment.
"We might look safe but I think the total of points needed to stay up will be higher than it has been for a long time."
