The former Memphis Grizzlies forward is shooting 37.5% so far this season and is averaging 19.4 points per game, and went three for 12 against the Brooklyn Nets earlier this week.
"You just have to get back into the gym and get back to the basics," he said, according to the Toronto Sun.
"The only thing I could do after that game was to go out and shoot some jump shots. Get that out of my head and work on my game."
Gay insists that he will not stop taking shots and is confident he will overcome his shooting slump.