Speaking to Fulham's club website, Gray said: "Chris Coleman pulled me to one side. He said that there had been an approach made for me from a Premier League team. It was completely out of the blue so it came as a bit of a shock.
"I went down to London on transfer deadline day; had my medical and was offered an initial one-year loan deal. Because of the late timing of everything it's just a loan at the moment, then we'll see what happens.
"Roy Hodgson is a really nice man. He is very pleasant and it was great to meet him. He is a good manager and has managed some big clubs, in England and in Europe. He's achieved some big things and comes with a fantastic reputation. He's got good ideas and I'm really looking forward to working with him and the rest of the team.
"He said that I'm different to the players he has got. I think my natural strengths will add to the squad that's here already. I like to run at people, take them on and cross the ball - doing all the things that I do best. I've also got Premiership experience and that can only help."
"I'm not expecting the gaffer to start changing an Arsenal-beating team around. "If I went straight into the team it would be a bonus but I'm going to work really hard and wait for my opportunity. If I do go in it will be fantastic and I will grab the opportunity with both hands.
"It's an exciting time for me and I'm delighted to be back in the Premier League. I'm from London and my family all live down here. So being home makes it all even better."