Gray visited Marsch at Leeds' training ground on Thursday and was in charge when the Whites were last relegated from the Premier League in 2004.
Gray said: "Leeds is a huge one-club city and that's why it's so vital we stay in the Premier League. We had a long time out of it and don't want to slip back into the Championship. I'm sure the players know the importance of the club staying in the Premier League for the fans, for the city of Leeds and for themselves."
Gray and members of Leeds' 1972 FA Cup-winning team, along with the 1992 First Division title-winning side, paraded on the pitch before last Sunday's 1-1 draw at home to Brighton.
And the 74-year-old added: "The atmosphere at Elland Road this season has been as good as I've ever known it. The fans are so passionate and they get behind the team 100 per cent. The scenes when we equalised against Brighton last week were incredible, so hopefully we get another moment like that at Brentford. I'll be there cheering the boys on."
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