Gonzalez has a right wrist contusion and is day to day, the Rockies said. X-rays were negative.
Gonzalez tracked down Brayan Pena's long fly in the seventh inning and grabbed it before hitting the wall. He was down on the warning track for several minutes before being taken off the field on a cart and taken to a hospital for X-rays.
"We don't think that there's anything serious," Rockies manager Jim Tracy said. "He went face first into that wall, making what we think is the play of the year. He was more sore on the glove hand, his right wrist."
Several teammates jogged out to center to check on Gonzalez.
"I went out there after he hit the wall and I think he's OK, but I'm not a doctor," shortstop Troy Tulowitzki said. "Give him credit, he's not scared of the wall. He plays the game the right way."
Gonzalez had homered and tied a career-high with six RBIs before leaving the game.
Royals outfielder Alex Gordon also left Sunday's game after getting hit by a pitch on the left knee.
Royals manager Ned Yost said Gordon suffered a bruise and is day-to-day.
Gordon was batting in the sixth inning when Rockies reliever Matt Belisle's slider ran in. Gordon buckled and fell to the ground, and was down for several minutes before limping to the dugout. He was replaced by Mitch Maier.
Information from The Associated Press was used in this report.