Gee was the winning pitcher Sunday at Detroit, but was hospitalized after the game. He returned Tuesday to Kansas City.
"Dillon developed some shortness of breath after the game when we were packing up," Royals manager Ned Yost said before Tuesday's game against Minnesota. "Of course our training staff was phenomenal. They realized right away that something probably wasn't right. [With] Dillon having a history with blood clots, took him straight to the hospital.
"Sure enough they found one in his lung and one in his shoulder, but Dillon is on way back now to Kansas City for further evaluation. But he's done for the year."
The 30-year-old Gee was shut down in July 2012 while with the New York Mets with a blood clot in his right shoulder that required surgery.
"We've got to figure out exactly where we go from here," Yost said. "The most important thing is his health. We've got to get him healthy first."
Gee, who picked up the victory Sunday over the Tigers with 2 2/3 innings in relief, finishes with an 8-9 record and a 4.68 ERA in 33 games, including 14 starts. He went 4-1 with a 3.46 ERA in 19 relief appearances.