Wickham hit his sixth goal in eight Championship matches to earn Wednesday a point at Charlton Athletic on Saturday.
Owls caretaker manager Gray said: “Sunderland are happy for him to stay. The problem is you’re only a phone call away to losing him.
“The board are in dialogue with Sunderland about keeping him. Connor wants to stay, he wants to play week in, week out.
“But who’s to say someone won’t come in with a big offer for him.”
For breaking stories and all the great banter like us on Facebook: facebook.com/tribalfootball