The 33-year-old retired in late June in order to become a first-team coach after helping out with youth sides while continuing his playing career at Easter Road.
Scorer of the winning goal in the 2016 Scottish Cup final triumph over Rangers, Gray saw his first-team opportunities limited the last couple of seasons as he continually struggled with injury issues, which prompted Ross to ask him to concentrate fully on coaching.
Asked how he was settling into things, Ross joked: “Terrible – thinking about changing it already.
“He's been everything I thought he would be. It wasn't an easy decision for Dave to make when I first broached the subject with him. He had to make the decision to stop playing, which is never easy for a player to make, particularly when it's under their control.
“I've had a close relationship with him since I came to the club and his thirst for knowledge, in terms of my job with regards to tactics and man-management, has been really big. He sees it as an area where he has a future, and certainly I do.
“I know people would love for that to be at Hibs, but hopefully not too soon as that means he's taking my job.”
Meanwhile, Gray’s fellow cup-winning team-mate John McGinn posted a belated tribute to his former captain on Instagram.
Alongside a couple of pictures of the pair, the Aston Villa and Scotland midfielder wrote: “Top skipper and an even better guy! Happy retirement Sir Dave.”