Gray cruised and was backed by Gio Urshela's three-run homer before leaving in the seventh inning because of right pectoral soreness during the Twins' 7-3 win over the Royals on Sunday.
Twins manager Rocco Baldelli said Gray felt "minor pec tightness" for a couple of pitches. Gray was getting an MRI after the game and didn't speak with reporters.
Baldelli said the team will know more in the coming days and that Gray will travel with the team to Detroit.
"It wasn't something that he was pitching through, for the most part," Baldelli said. "At that point, he has to come out. There's no way around that.
Greinke (0-4) gave up five runs, six hits and two walks in four innings.
"When he came out, we didn't know he had some issue in his forearm," Kansas City manager Mike Matheny said. "So that's probably something that may have been with him from the beginning that we weren't aware of. But unfortunately, the elbow area, the flexor area wasn't feeling great."
Greinke has a 5.05 ERA and has allowed at least five earned runs in three of his last four starts after not giving up more than three in any of his first six.
Gray (3-1) allowed two hits and retired 14 in a row before Andrew Benintendi's single leading off the seventh. With a 3-1 count on Bobby Witt Jr. and Kansas City asking for a video review to try to get a hit batter call, Baldelli and an athletic trainer came to the mound as Gray appeared to be trying to stretch a muscle near his pitching shoulder.
"Just over the white the whole game, kind of took the action to them, missed some bats, everything you want to see," Baldelli said. "It was another great start by him. It's fun. He's like a little bulldog out there. He goes right at them. It was very nice until we had to take him out."
Gray didn't walk a batter and struck out four as his ERA dropped to 2.41 in his first season in Minnesota. He allowed five runs in five May starts covering 27⅓ innings after recovering from a hamstring strain during his second start.