Team officials listed "personal reasons" as to why he was absent. No other information was immediately available.
Memphis last played on Saturday at Houston before taking three days off for the Christmas break.
Gay averages 18.2 points and 5.9 rebounds a game.
Quincy Pondexter took Gay's spot in the starting lineup.
Copyright 2012 by The Associated Press
MORE NBA HEADLINES
- 76ers lose 17th straight at hands of Knicks
- Heat seal playoff spot behind Wade, LeBron
- Source: 'Looks like' Phil will take Knicks' job
- Return of Clippers' Crawford still uncertain
MOST SENT STORIES ON ESPN.COM
- '47 Brand Women's Memphis Grizzlies V-Neck Grey T-Shirt
- NBA Home
- Boston Celtics
- Brooklyn Nets
- New York Knicks
- Philadelphia 76ers
- Toronto Raptors
- Chicago Bulls
- Cleveland Cavaliers
- Detroit Pistons
- Indiana Pacers
- Milwaukee Bucks
- Atlanta Hawks
- Charlotte Bobcats
- Miami Heat
- Orlando Magic
- Washington Wizards
- Heat Index