The 22-year-old played only 12 times for the Premier League side last season and his contract comes to an end at the conclusion of the 2014-15 campaign.
Newcastle will listen to offers for Ameobi but Wednesday are likely to face competition for his signature from Sky Bet Championship rivals Middlesbrough, who he had a spell on loan with in 2012-13.
"We have spoken to Sammys agent," Gray said.
"He is a quality player and he has shown that by playing in the Premier League."
Ameobi previously admitted next season would be a big one for him, either getting a move away from Newcastle or forcing his way into Alan Pardew's first-team plans on a more regular basis.
Next seasons the big one for me its my opportunity," he said.
Ive got one year left on my contract and Ive got to prove Im good enough to be a Newcastle player so Im going to be working very hard over the summer to hopefully start fast next season.
I was fit and I was enjoying playing at that time. It was just a shame about the injury. Hopefully working over the summer will help to prevent injury and Ill be able to show what I can do.
Im not a kid anymore Im a grown man so I fully expect that Ill be treated that way. Im going to put in the effort and if Im not good enough, Ill have to move on.