Sunderland's Jermain Defoe
The Hammers were strongly linked with a move for the Mackems striker, whose form this season has led to an England recall at the age of 34.
Yet despite Defoe's 14 goals in 28 Premier League outings this term, Sunderland remain rooted to the foot of the table - seven points adrift of safety.
And Sunderland fan Gray - who spent 14 years on the books of his hometown team - has urged Defoe to quit the Stadium of Light at the end of the campaign, having resigned himself to his old side's relegation this season.
"I'm sure he's as frustrated as every other Sunderland supporter that things just aren't changing at the club," said the 42-year-old.
"There was interest I think from West Ham in January. I thought he should have went if that interest was there, because I just looked at Sunderland and I couldn't see us getting out of the situation that we're in at the minute. I know we've done it in the past but this time around I think it's one step too far.
"If he wants to play in a World Cup in 2018, I believe that won't happen if Jermain stays at Sunderland because I think we'll be in the Championship.
"This is Jermain's last chance."
Despite being linked with a string of strikers in January, West Ham's attacking pool actually reduced in size, with Simone Zaza's loan spell terminated prematurely.
Jermain Defoe celebrates a goal for West Ham
And it would be little surprise to see the Londoners return for Defoe, who began his career at Upton Park, in the summer.
Where will Defoe end up next season?