Like both of the other answers say, no. At the beginning of the manga, Gray possibly had slight crush on Lucy from the way he acted around her. No, he does not. In fact it has been confirmed by Hiro Mashima that at the end of the anime, natsu and Lucy will be a thing. If the other was to get hurt, of course they would be concerned. In my opinion friendship is a phenomenon just as incredible as love.
GrayLu | Fairy Tail Couples Wiki | Fandom
The shounen anime Fairy Tail is home to a plethora of unique characters. Fairy Tail immerses us in an adventurous guild setting with a strong sense of family. The Guild is one of the fiercest in the Kingdom of Fiore and jam-packed with excellent fighters and wizards. One of the guild's stand-out characters is Gray Fullbuster, an ice-making mage. Gray has been with the guild since a young age, growing up with Natsu and Erza. Gray is a dynamic character who we see grow and develop throughout the series. He is a fierce defender of Fairy Tail and a bit of a wild card at times.
Please help by updating the information needed in the article. This pair is also known as GraLu. Gray's most prominent feature is his spiky black-colored hair.