Davis, a four-time All-Star, was inadvertently hit in the face by Nuggets center Nikola Jokic's head. Jokic was backing Davis down while making a spin move along the baseline.
Davis remained on the floor with his hands over his face for a minute before he walked to the locker room with 11 minutes, 2 seconds left in the quarter.
Pelicans coach Alvin Gentry couldn't provide details of Davis' injury after the game. "I don't know yet,'' Gentry said. "I have to check with doctors.''
Said Jokic: "I don't want [anybody] to get injured because of me. I hope he's good. I didn't do it on purpose.''
Davis had 17 points and five rebounds before his exit.
This is the third time in his career that a concussion has sidelined Davis from a game. He previously suffered concussions in November 2012 and January 2016.
The Pelicans (8-8) play again Monday night, at home against the Oklahoma City Thunder.
The Associated Press contributed to this report.