The "gradient" you wrote is not a four vector (and that's not what should be called a gradient). What you have written is a four co-vector (i.e. a dual vector, which is a linear functional over the space of four-vectors). What you have written is technically the differential of the field $\phi$ which is an exact one-form:
$$d\phi = \frac{\partial\phi}{\partial x^{\mu}} \, dx^{\mu}$$
The gradient depends on an underlying Lorentzian (or Riemannian) metric $g_{\mu \nu}(x)$ tensor, with inverse tensor $g^{\mu \nu}(x)$, that establishes isomorphism between the space of vectors and co-vectors. I.e.
$$\big(\,\nabla \phi \,\big)^{\mu} = g^{\mu \nu}\, \frac{\partial \phi}{\partial x^{\nu}}$$ so when you change the coordinates, $x^{\mu} \mapsto \tilde{x}^{\mu}$, the inverse Lorenzian or Riemannian tensor changes as
$$g^{\mu \nu} = \frac{\partial {x}^{\mu}}{\partial \tilde{x}^{\alpha}}\, \tilde{g}^{\,\alpha \beta}\, \frac{\partial {x}^{\nu}}{\partial \tilde{x}^{\beta}}$$
and the partial derivatives transform as
$$\frac{\partial\phi}{\partial x^{\nu}} =\frac{\partial \tilde{x}^{\gamma}}{\partial {x}^{\nu}}\, \frac{\partial \phi}{\partial \tilde{x}^{\gamma}}$$
Consequently, the gradient transforms as a four-vector as follows:
\begin{align}
\big(\,\nabla \phi \,\big)^{\mu} &= g^{\mu \nu}\, \frac{\partial \phi}{\partial x^{\nu}} = \left(\frac{\partial {x}^{\mu}}{\partial \tilde{x}^{\alpha}}\, \tilde{g}^{\,\alpha \beta}\, \frac{\partial {x}^{\nu}}{\partial \tilde{x}^{\beta}} \right)\, \left(\frac{\partial \tilde{x}^{\gamma}}{\partial {x}^{\nu}}\, \frac{\partial \phi}{\partial \tilde{x}^{\gamma}}\right)\\
&= \frac{\partial {x}^{\mu}}{\partial \tilde{x}^{\alpha}}\, \tilde{g}^{\,\alpha \beta}\, \left(\frac{\partial {x}^{\nu}}{\partial \tilde{x}^{\beta}} \, \frac{\partial \tilde{x}^{\gamma}}{\partial {x}^{\nu}}\right)\, \frac{\partial \phi}{\partial \tilde{x}^{\gamma}}\\
&= \frac{\partial {x}^{\mu}}{\partial \tilde{x}^{\alpha}}\, \tilde{g}^{\,\alpha \beta}\, \left(\frac{\partial \tilde{x}^{\gamma}}{\partial {x}^{\nu}} \, \frac{\partial {x}^{\nu}}{\partial \tilde{x}^{\beta}} \right)\, \frac{\partial \phi}{\partial \tilde{x}^{\gamma}}\\
&= \frac{\partial {x}^{\mu}}{\partial \tilde{x}^{\alpha}}\, \tilde{g}^{\,\alpha \beta}\, \delta^{\gamma}_{\beta} \frac{\partial \phi}{\partial \tilde{x}^{\gamma}}\\
&= \frac{\partial {x}^{\mu}}{\partial \tilde{x}^{\alpha}}\, \tilde{g}^{\,\alpha \beta}\,\frac{\partial \phi}{\partial \tilde{x}^{\beta}}\\
&= \frac{\partial {x}^{\mu}}{\partial \tilde{x}^{\alpha}}\, \left(\tilde{g}^{\,\alpha \beta}\,\frac{\partial \phi}{\partial \tilde{x}^{\beta}}\right)\\
& = \frac{\partial {x}^{\mu}}{\partial \tilde{x}^{\alpha}}\, \big(\,\tilde{\nabla} \phi \,\big)^{\alpha}
\end{align}
where again, in the current $\tilde{x}^{\alpha}$, the gradient is
$$\big(\,\tilde{\nabla} \phi \,\big)^{\alpha} = \tilde{g}^{\,\alpha \beta}\,\frac{\partial \phi}{\partial \tilde{x}^{\beta}}$$
In flat space-time, you have a Minkowskian constant tensor $\eta_{\mu \nu}$.