Wickham had been instrumental in Wednesday's resurgence under Gray, scoring eight goals in his 11 appearances having returned to Hillsborough for a second temporary stay in November.
The 20-year-old England Under-21 international was recalled one week early by Sunderland boss Gus Poyet due to injuries at the Stadium of Light, but Gray has not ruled out a third spell with the Owls for Wickham.
"I had a conversation with Gus and he said the boy (Steven) Fletcher has tweaked his Achilles, so he is going to keep Connor for the next two or three weeks, so we will see how it develops," said Gray.
"At this moment we desperately want to bring him back but we have to look at other options to strengthen that area.
"He wants to come back, we definitely want him to come back. We will keep the door open but will look at other options as well."
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- Gus Poyet