Its insistence that it should remain intact came as it prepared to open its books to WPP and other bidders.
WPP has emerged as the only prospective bidder that seems willing to swallow Grey whole and is favourite to win the £1.5 billion auction.
The prospect of Grey being broken up had arisen as the US private equity group Hellman & Friedman emerged as a potential contender.
A Hellman bid could interest Maurice Levy, the Publicis Groupe chairman, who has ruled out a takeover of the whole of Grey but has indicated his interest in some parts of the company.
However, there is speculation that Hellman, which is understood to be about to take part in due diligence on Grey, could mount a joint bid with the French group Havas.
In its first public statement on the sale this week, Grey confirmed it had hired Goldman Sachs and J P Morgan Chase & Co to help it "in exploring alternatives focused on enhancing shareholder value".
But the company insisted that it had no intention to "pursue a sale of individual business units".
Bankers for Merrill Lynch, which is acting for WPP, were also due to begin due diligence this week ahead of the auction. If successful , a major priority for WPP would be to improve Grey's operating margin, now around 5 per cent.
With other potential suitors, notably Omnicom and Dentsu, having ruled themselves out of the race, Ed Meyer, Grey's chairman and controlling shareholder, has a limited number of options.
He must either sell it to WPP, offer the company to a private equity firm or take it off the market.