The Seasiders had refused to allow the League One club to speak to Grayson on Monday evening only for the 39-year-old to be installed in the Elland Road hot-seat on Tuesday morning.
Grayson had tendered his resignation earlier in the day, but the club did not accept this and consider him to be in breach of contract.
"The resignation was not accepted by the board of directors and the club is now considering legal action against both Simon Grayson and Leeds United," read a statement.
Grayson's contract at Bloomfield Road does not run out until 2010.