Shaw has been linked with a £25 million move to United.
And former England fullback Gray told talkSPORT: "I saw the speculation about Leighton Baines going to Manchester United in the transfer window and you can see why. He's probably been the best left-back in the Premier League for two seasons.
"But for me, if you're looking for potential, I think Luke Shaw has got it all. He's a terrific left-back who loves bombing forward.
"I love watching him play. He's enthusiastic. He's got pace and power and I think in a year, or two years time, £25million is going to be a snip for him. That's how good he is."