"The most important thing is once he pulls on the shirt, he does the business for us.
"It's like anything, it happens in games where we'll no doubt be playing teams where our boys have been linked with other clubs. It's just one of these strange things that's happened.
"He's joined us and we've now got the opportunity to play Millwall probably three times or more this season."
Like Town, Millwall drew their opening game of the season. Northampton aren't expecting an easy game.
"Millwall have added players to their squad and they're obviously a very strong side," Gray added.
"They've got two very good strikers in Ben May and Gary Alexander up front.
"They'll be coming here high on confidence after getting a good result at Doncaster."