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.
"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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