Ok, so the sight of anything alien, such as grey fluff in a lock is going to pretty scary, but rest assured it's nothing life threatening.
Lint, dust and fluff are everywhere. You can pick it up off of clothes, hats, towels, pillows.... you get the idea. It can sit on your locks just as easily as it can sit on any other surface. Then, just like on your clothes or other surfaces, the lint will easily wash off. Lint only becomes a problem when it's combined with a residue problem, in which case the lint won't just wash off, it can stick to the lock, building up inside the lock, in the tip or under a loop.
If you notice a grey deposit of fluff in or on your lock, do not fear, it can be very easy to overreact and worry, especially since the fluff can sometimes appear to be filling the whole inside of a dreadlock. Since lint is really just a visible symptom of residue you will deal with it in the same way with a deep clean. Deep cleaning will help to break down and remove the residue that the dust sticks to and then soaking and squeezing will help dislodge and remove the lint. If you have a particularly bad case it will take more than one deep clean. Little bits that are left over can be picked out with a needle if necessary.
You can help avoid general dust and lint by taking such measures as wrapping your locks when you sleep, using a microfibre towel for drying them and not laying on fabric surfaces while they're damp.
Deep Clean Video:http://www.youtube.com/watch?v=X782R85mFJE