The effect of the type of chemical route used to functionalize graphene with short-chain polyethylene on the final properties of graphene-based high density polyethylene nanocomposites is reported. Three different click reactions, namely copper-catalyzed alkyne–azide (CuAAC), thiol–ene and thiol–yne have been addressed. The nanocomposites were prepared using a method that we denominate “gradient interphase”. The electrical and thermal conductivity and the mechanical properties strongly depend on the click reaction used to modify graphene, the thiol–ene reaction giving the best results. This study demonstrates that the election of the chemical strategy to provide graphene with functionalities common to the polymer matrix and the engineering of the interface are crucial to obtain nanocomposites with improved properties.