The sides will meet at the Boleyn Ground tomorrow.
The legendary Scottish striker has backed the Hammers to edge out Crystal Palace in Saturday's clash at Upton Park, but believes that the East Londoners will struggle to hold on to star playmaker Dimitri Payet in the summer.
Seven points above the drop zone, Palace travel to the Boleyn Ground aiming to pick up their first victory this year in what has proven a rotten 2016 for the Eagles thus far.
In contrast, the Irons are chasing Champions League qualification and a victory might see them move into the top four.
It has been a wonderful season for West Ham boss Slaven Bilic, thanks in no small part to Payet, who has been a revelation since joining from Marseille last summer; so much so that Gray feels that Bilic has a fight on his hands to keep him.
"West Ham are really good at home and Crystal Palace are in relegation form. That’s a worry because if they don’t buck the trend they’ll be heading down and heading down quickly," he wrote on Paddy Power.
"Alan Pardew is going back to one of his old stomping ground, but West Ham are being led by Slaven Bilic towards the final furlong and still have a good shout of getting to the top four.
"I’d be surprised if Dmitri Payet is still there next season. Back the Hammers at home."
With 11 goals and 10 assists in all competitions, Payet, who only signed a contract extension in January, has arguably been West Ham's stand-out player - a real hit among the fans, who would be gutted to lose him.