Sunderland lost 4-0 to relegation rivals Aston Villa on Saturday, and that embarrassing defeat leaves the Black Cats just one point above the drop zone.
Manager Gus Poyet has now been sacked after that result, meaning Sunderland are again on the lookout for a new boss in the coming days.
The bookies favourite is currently ex-Rangers manager Dick Advocaat, with the 67-year-old a free ageny since leaving his post as Serbia boss in November.
However, former Black Cats full back Gray has told Sky Sports News that Sunderland should instead be looking to bring in Sam Allardyce from West Ham United - whose side face Sunderland on Saturday.
"I think if you're looking long term there's only one person out there for me, and he's in charge of the club we're playing at the weekend," said Gray. "I think he's man-made for it, I really do. I know he's having contractual talks with West Ham about whether he's going to be staying at the end of the season, but he would certainly be my choice."
"It's unfortunate Gus has lost his job - nobody likes to see that - but we're all going to be speculating about a new manager and there's only one out there for me," he added.
Allardyce, 60, played 25 games for Sunderland in the 1980's, and may be a popular choice amongst fans to replace Poyet.
His contract at West Ham expires at the end of the season, and the expectation is that he won't receive a new deal, meaning he will be free to leave Upton Park.
He isn't available right now though, which could throw a spanner in the works with nine games remaining - and Sunderland needing to pick up points desperately in a bid to stay in the Premier League.