No announcement has been made about Gray's long-term successor and the Elland Road club do not anticipate making a decision for some weeks.
Former Leeds captain Gordon Strachan has been strongly linked with the job while other candidates include Blackwell and Crystal Palace manager Iain Dowie. Gray has been in charge of Leeds since Peter Reid was sacked last November.
Faced with a desperate financial situation, he failed to keep the club in the Premiership and relegation was confirmed after Saturday's 3-3 draw with Charlton. Leeds only won six times during his 26-game in charge.
The former winger's position had been under threat for some time as he does not hold the necessary coaching qualifications to manage in the Premiership.