The former Leeds man has been discussing the teenager.
Several Premier League clubs have been keeping tabs on the 18-year-old midfielder, as reported by the Daily Star, although they suggest he is keen to stay with Leeds for now.
Gray, however, believes Cook may have his head turned slightly while away on international duty with England's Under-19s. Indeed, he feels Cook will be looking at those around him and thinking he wants to be at that level.
Gray told the YEP: "Players do owe clubs loyalty but you’ve got to be loyal to yourself too.
"You’ve got to try to prove yourself and to go as far as you can go. With the likes of Lewis Cook, when he goes away on England duty he must look at some of the other players and think ‘I’d like to be at that level’."
Leeds host Bristol City at Elland Road on Saturday afternoon and, considering City's poor recent form, it's a game United will be favourites for.
Their form has tailed recently after an unbeaten run and head coach Steve Evans have been left very angry after defeats to both Ipswich Town and Sheffield Wednesday.
Saturday should present a great chance for the Whites to bounce back but they've got to show the same effort and desire that has earned them unexpected wins throughout the season. All too often, Leeds aren't at the races.