Do you say "grey eyes" much in Russia?

Grey (alternative spelling "gray"), in general, has negative connotations. There is grey: hair (a loss of youth and vitality), skies (gloomy), complexion (lack of health and vigor), environment (lack of color and vibrancy). Grey eyes also connote "steely eyes," which, though determined, lack warmth and compassion. If I wanted to compliment someone with grey eyes, I would tell them they have "beautiful pale blue eyes!"

I don't think there is any negative connotation to saying "gray eyes". Why do you ask?

I think Richard is right. This would be strange.

I am not aware of any problem with "gray eyes." Calling, "Hey, blue eyes" or "Hey, brown eyes" has a positive sound to it. "Hey, gray eyes" doesn't sound as flattering. Maybe the association of gray with old age has something to do with it. Nevertheless, there is no cultural prohibition against using the term.