The 42-year-old multilingual Frenchman is out of work after his most recent spell in that position with Liverpool.
New Owls owner Dejphon Chansiri has said he wants to bring a director of football in to support Gray in his role as head coach. The Owls would not confirm on Thursday whether an approach had been made to Comolli or anyone else.
Speaking ahead of Saturday’s Yorkshire derby with Huddersfield Town, Gray said: “That’s just all speculation regarding the name that has come out today.
“When we’ve got something to announce, we’ll announce it.”
Asked if he would welcome the appointment of a director of football, Gray said: “I think I would. The game is changing. It’s the knowledge they bring of overseas football.
“British prices are inflated when you’re trying to sign players so maybe you have to look further unfield for those uncut diamonds.
“A director of football oversees all football matters down to the playing surface and the academy.
“It would take a bit of the workload off me.
“If we bring someone in that helps Sheffield Wednesday get to the Premier League then I’m all for that.”