The writer of the show, originally funded by the Screen Yorkshire agency, said the Line Of Duty actor is the person he most wants to make a guest appearance but denied he would play gangster Al Capone.
He told the BBC's Obsessed with... Peaky Blinders podcast: "We're proceeding with that, but not this series. Not Al Capone, I didn't want to go west. Once you go into Chicago gangster...
"I referred to him last series, but I didn't want to go into that."
"The amount of people who have come to us wanting to be in it is quite astonishing - and really good people. What I've tried to avoid before is turning it into a 'spot the celebrity', you know, because I think it's quite distracting sometimes.
"But someone like Adrien Brody is a great actor, obviously you want to put them in it, but I think now we're coming to the final two series, I'm going to relax and open the gates a bit because there's some amazing people who want to be in it, and I think 'Why not?'"
Asked what kind of role he does envisage for Graham, he replied: "I've already got it and I'm not going to tell you."
Knight also addressed rumours that Julia Roberts was interested in a part in the show, saying: "I don't know where that got out, but, yeah, fingers crossed on that."
Previewing the forthcoming fifth series of the show, he said: "There is a thread and a strand to it which is incredibly topical.
"Not thanks to me, but thanks to what was happening at that time. There are so many parallels.
"It's the early '30s and it's the first stirrings of fascism and nationalism and populism, and there are particular politicians that were happy to stir that up and make use of it and get votes from it.
"And Tommy has to face that and it's part of what I feel will, hopefully, eventually be a rehabilitation of him, because when he comes across that, how's he going to react? Is he going to go with it? Is he going to oppose it?"
Sam Claflin performs a Nazi salute as he appears as Oswald Mosley in the first trailer for the new series, which was partly filmed at Bradford City Hall and a private home in Huddersfield.
Me Before You actor Claflin joins the cast as the leader of the British Union of Fascists as the drama moves into a time of unrest in British politics.
The clip opens with voiceover from Cillian Murphy's gangster turned MP Tommy Shelby saying: "There is God, and then there are the Peaky Blinders.
"We own the ropes. Who's gonna hang us now, eh?"
His sister Ada, played by Sophie Rundle, who also starred in Halifax-based drama Gentleman Jack, tells him: "No one is gonna hang you, Tommy. You're gonna hang yourself."
The trailer also show the return of Helen McCrory as Polly Gray and Paul Anderson as Arthur Shelby, as well as the arrival of a new character played by Anya Taylor-Joy.
It also features the first meeting between Shelby and Mosley, as Claflin says: "Mr Shelby, you have come to my attention."
The fascist politician can also be seen declaring "England lives tonight and marches on" amidst protesters wielding banners saying Mosley Out.
The trailer also features fire and explosions, as well as a shot of McCrory wielding a gun, all set to the song Strange Weather by Anna Calvi, who composed the score this year.
Obsessed with ... Peaky Blinders is available on BBC Sounds.