They have conceded 13 goals so far and only five other teams have let in fewer goals than them.
"It's going to be a tough game. They're not easy to break down and don't concede too many goals," Gray told the club website (www.lcfc.com).
"I saw a few of their games and they're difficult to break down but if we're on it we can break down anyone."
Gray, whose only goal this season came during their 4-1 loss to Manchester United in September, said they are more confident going into the game after seeing off Club Brugge 2-1 at home on Tuesday.
"If we start like we did against Brugge then there's not much that can stop us," the 20-year-old said.
Leicester are confirmed Group G toppers in the Champions League, but the reigning English champions are presently struggling on 14th in the league with 12 points, two away from the relegation zone.
"If we get the right start and result at the weekend, then we need to keep that momentum," the former Birmingham City winger said.
"I played against them (Middlesbrough) championship. They were one of the top teams, I know what to expect and so do the lads. It won’t be an easy game but goals will be scored."
(Reporting by Debanjan Bose in Bengaluru; editing by Sudipto Ganguly)
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