Grayson said the Gunners were firm favourites to take the Elland Road fixture after the 1-1 draw at the Emirates and has said that being the underdogs will benefit his Whites charges.
"This is definitely a competition Arsenal want to win," Grayson said.
"They'll be focused on what they have to do and after being 1-0 down with a minute to go they'll be delighted to still be in it.
"But there's no pressure on us at all. We'll still go out and play with a carefree attitude and enjoy the occasion.
"Just because we got a result at the Emirates doesn't make us favourites by any stretch of the imagination.
"But it's a great opportunity to test ourselves against fantastic individuals and a fantastic team again and apply ourselves in front of the national media."