@ADramaticBeauty I have a bunch of ideas stored up, but I found this one on FFN:
This takes place before Gray acknowledges his feels, and Juvia acknowledges that he only sees her as a guild mate. So when the time actually comes and he tells her how he feels about her, she doesn't understand because that's impossible.
It seems kinda silly and it's also really hard to explain, but you can find the original story up on Fanfiction.net under the name "The Glitch" by the author "thirdorigin."