The 24-year-old striker has been out on loan at League One side Coventry City since October.
He has netted four times in 13 appearances for the Sky Blues but is due to return to his parent club at the end of the week.
Madine admits to having enjoyed his time in the third tier and would be open to extending his stay.
He said in The Star: “I’m really enjoying my football and the gaffer has expressed how much he wants to keep me. The men upstairs, Steve Waggott and Mr Fisher, have said they want me to stay.
“I’d like to be higher up the league so I want us to be pushing that way, but I’m playing football. It’s out of my hands at the minute and have to see if Sheffield Wednesday want me back in their plans, so I’ll be training as normal until Friday and see what happens this week.”
Gray has hinted that he is prepared to welcome the powerful frontman back into his plans, with Wednesday still short on goals.
He said: “We haven’t closed the door on Gary. Things can quickly change in football with injuries and suspensions.
“Gary will come back into my thoughts on January 30. That competition is going to be healthy again up front.”
The Owls have found the target just 21 times in 26 Championship outings this season – the joint-worst record in the division along with struggling Blackpool and Rotherham United.
Madine would offer Gray another option up top, providing competition for the likes of Stevie May, Atdhe Nuhiu and loan arrival Michael Keane.
He has, however, struggled for goals in the second-tier in the past.
His most productive campaigns to date have all come in League One, so it may be that Wednesday agree to sanction an extended stay with Coventry and look elsewhere for attacking reinforcements.