Gay, a regular in formations with five defensive backs, was one of only two players to miss practice.
Reserve running back Lynell Hamilton, a special teams standout, was the other. Hamilton has missed practice all week with a sore left ankle and is listed as questionable for Sunday's game.
The Saints' final practice on the campus of the University of Miami lasted just under two hours and was their shortest workout of the week.
"I think we had a good week of work," Saints coach Sean Payton said.
The Saints did not conduct Friday's practice at full speed, but tight end Jeremy Shockey, who has been nursing a sore right knee, appeared involved in every snap in most drills for the third consecutive day.
As is customary before their home games, Saints players and coaches ate charbroiled oysters from New Orleans-based Drago's Restaurant after practice.
Payton said his players will have a midnight curfew Friday and an 11 p.m. curfew on Saturday.
"We prepared for this game like it's a Sunday night game," Payton said, referring to 6:25 p.m. kickoff. "At halftime, because it's longer than usual, we will want the guys to maybe eat a little and also remove their shoulder pads and get a dry T-shirt."
New Orleans plans to conduct a final walk-through practice at Sun Life Stadium on Saturday.