Gay was held to just 13 points and three assists as the Toronto Raptors fell 88-82 to the Memphis Grizzlies on Wednesday.
"It was emotional, a little bit, it was good to see the guys," said Gay, "but at the end of the day it was one of those things where we still thought we could win."
Raptors head coach Dwane Casey said he felt sorry for Gay, who entered the game averaging 21.1 points in eight games since being acquired from Memphis on Jan. 31.
"They didn't want to let Rudy get going," said Casey. "They were double-teaming him on pick-and-rolls, they were sending help quickly, they made it tough on him.
"I felt for him cause I knew he wanted to do well, but every time they were rotating bodies against him."
Zack Randolph led the way for the Grizzlies (35-18) with 17 points and 18 rebounds while Mike Conley added 17 in the win. Memphis led by 11 points at halftime, but had to withstand a fourth quarter rally by the Raptors for its fifth straight win.
"We knew it was going to be a dog fight from the beginning," Conley said. "They were playing very well. It was very much like a playoff game with the way the attitudes were and the emotions out there. Both sides played very hard and the crowd was into it. It felt like a playoff game. It was a big game."
Toronto's (22-33) Alan Anderson caught fire in the fourth quarter, shooting 4 of 5 from three-point range and collecting 15 of his game-high 19 points. At one point Anderson had 15 straight Raptor points.
Amir Johnson, who brought the Air Canada Centre crowd out of their seats late in the third quarter when he threw down a monstrous one-handed jam over Randolph, had 16 points and five rebounds.
"First half we just wasn't there," said Gay. "I don't know if it was the schedule or travel — I don't know, but we just weren't there mentally. Second half we ramped it up, but with a team like that, you can't pick it up in the second half and expect to win."
The loss snapped Toronto's five-game win streak.
Ed Davis, who Toronto traded for Gay, had four points off the bench for the Grizzlies and received some applause from the Raptors faithful.
The Grizzlies opened the game by missing their first eight field goals, but the Raptors also struggled early, hitting just four of their first 20 shots.
"We're trying to prepare for the playoffs," said Casey. "That game, the New York game (Friday) and even (Tuesday's) game to certain extent, it's not an offensive affair, it's about being tough, being strong with the ball, making the right decisions, not playing in the crowd and playing with that type of mental fortitude."
Memphis used an early second quarter 8-2 run to stretch their lead to nine.
Gay's first points of the game came with just over five minutes remaining in the half, when he drained a shot from three-point range with the shot clock winding down.
Memphis took a 43-32 lead into halftime.
Notes: Toronto lost its previous meeting 103-82 at Memphis in November. ... Gay was the Grizzlies' sixth overall selection at the 2006 draft. Memphis also picked up Tayshaun Prince and Austin Daye from Detroit in the three-team trade while the Pistons received Toronto veteran Jose Calderon.