Johnson was brought to Hillsborough in September by former Owls boss Dave Jones and Gray feels the 30-year-old has performed well since moving to South Yorkshire, as well as being a good influence on his team-mates.
Also with Wednesday fighting against relegation from the Championship, Gray thinks Johnson's experience could be vital in their bid to stay up.
He told The Express and Star: "We are trying to have a bit of dialogue with Wolves and trying to extend his loan, but he is not our player.
"That will be down to Wolves and you never know what is going to happen in football.
"I think Roger is enjoying his spell. He hadn't played much football.
"Credit to Dave Jones for bringing him in; Dave knew the qualities he has.
"When Reda Johnson has been injured, Roger has been captain as well. He is very vocal in the dressing room and on the pitch."