Warnock would be interested in a return to his native Yorkshire and is available after having been sacked by Queens Park Rangers in December.
Former England, Newcastle and Blackburn striker Alan Shearer is also keen to talk to Leeds chairman Ken Bates, according to the Telegraph.
Grayson took over at Leeds in December 2008 and led the club to promotion from League One in 2010
Gordon Strachan, Gus Poyet and Lee Clark have also been linked with the job as Leeds boss.
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Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.
Newcastle United are staring down the barrel of relegation to the Championship for the second time in the past eight years.