Gregory has been on the books of Millwall since the summer of 2014 and has a contract until June 2017, according to Transfermarkt.co.uk.
The Daily Mail reported last month that Championship side Brighton & Hove Albion are keen on the striker.
The former Halifax Town man was in brilliant form for Millwall last season, scoring 27 goals and helping them reach the League One playoffs.
While Gregory did well last season, it must be remembered that the former Mansfield Town striker’s heroics and goals came in League One.
The Championship and the Scottish Premiership are much better and tougher leagues, and signing the 27-year-old would be a gamble for the likes of QPR, Wednesday and Celtic.