To me, the "gray man" thing means don't stand out as a particularly inviting target.
Obviously, you don't want to look like a head-down shambling sheep, either. Clint Smith is absolutely right when he says, "If you look like food, you will be eaten."
What works for me is keeping the head on a swivel, obviously alert to surroundings but not making aggressive eye contact. (But not avoiding it, either.) Walk purposefully, but don't swagger. You get the drift.
There are ditches on either side of that road which are easy to fall into, bro. I've found the middle ground is generally the highest, and safest, ground.