Speaking to the Telegraph and Argus, former Leicester and Aston Villa player Grayson said: "Players are entitled to their opinions but I am not going to get into a war of words with McSheffrey.
"It isn't the first time a player has been disappointed about not signing for a fantastic club like Leeds. I am just concerned with getting the best out of my players when we take on Coventry.
"I was really excited about signing Gary on loan from Birmingham in January. He helped us get promoted, as did Michael Doyle, but I made a decision at the end of the season that there were other avenues to go down by signing different personnel. I felt the decision was right for Leeds and the pair of them left.
"When Gary left it's not as if I never spoke to him about what was going to happen. He has found his home in Coventry and done well recently by scoring a few goals and I wish him and Michael well after the weekend.
"Michael was a big part of our success and maybe he was unfortunate not to be signed by us but we decided to go down a different road."