The Brentford striker remains available for transfer at the right price.
The report states that this breakdown in talks regarding the player has let former suitors Hull City back into the equation.
With Bristol City willing to spend but currently struggling in their first few Championship matches, they have been unable to complete a deal for the Bees striker, who has already scored 2 goals this season.
Sky Sports instead say Gray was back training at Brentford on Thursday, and will be involved in Marinus Dijkhuizen's squad for the match against Burnley at the weekend.
Steve Bruce, who earlier in the summer tried to bring both Gray and his Brentford teammate Moses Odubajo to the KC Stadium, may now renew his attempts to sign the 24-year-old, after ceding defeat in his previous approach for Gray, who scored 16 goals in the Championship last season.
If that is to happen, it is expected the Tigers will have to match the £7 million figure the Robins agreed to pay for the player, with Bruce falling short in his earlier bids.
Given the way he has continued his scoring ratio despite uncertainty about his future, it is understandable there are plenty of interested parties eager to sign up the former Luton Town man.