The youngster has made just 10 starts for the 'Foxes' since joining the club from Birminham in January 2016 but is considered a potential star of the future by staff at the King Power.
Gray is in talks over a new deal with the club, who rejected approaches from both Bournemouth and Crystal Palace for his services this summer.
The 21-year-old started for Leicester as they knocked Liverpool out of the Carabao Cup on Tuesday but he is yet to start a Premier League game so far this season.
Gray admits that he has not been happy with his lack of game time but says that frustration is a good sign for managers as it shows the players in question care.
"I've had a tough time mentally. I wanted more game-time but that's only going to help me develop and I'm in a much better place now. I'll just keep working hard in training and keep trying to get out on the pitch," he explained.
"I'm just like any other player - it's kind of an issue if you're not playing. You get frustrated and I think it's good for the manager that he knows a player is frustrated.
"You want to play and get out there and help the team. There are positives and negatives to it, but when I play I've just got to do what I do best. It's good to be involved.
"It's my job to give the manager a headache. That's what I need to keep doing. I know I've got to fight for my place because there are good players fighting for positions."
Leicester boss Craig Shakespeare has confirmed that Gray is close to signing a new deal with the club but the player himself insists that he is only thinking about on-field matters at the moment.
"That's up to my representatives to handle, but I'll just keep working hard and hopefully something will get sorted and we'll get things over the line," he said.
"I'm a Leicester City player and I've just got to work hard to try and get my place in the team consistently."