X-rays on Gafford's thumb were negative, and he will be re-evaluated Thursday, the Bulls said.
"I thought it was just like a slight jam of my thumb, and I looked at my thumb and it was way more than a jam," a chuckling Gafford said after the game.
The Bulls also lost forward Chandler Hutchison to an elbow injury in the fourth quarter.
Gafford's thumb was bent back after he picked off a pass by Ian Mahinmi early in the first quarter. The 6-foot-11 Gafford called timeout and ran off the court in the direction of the Bulls' locker room. He did not return.
Gafford, who was selected by Chicago in the second round of last year's draft, had two points and one rebound. Luke Kornet came in after Gafford departed.
Hutchison had 11 points and two steals in 12 minutes before his injury. He did not shoot the free throws after being fouled and was taken to the locker room.
Hutchison played in 14 games before Wednesday, averaging 5.4 points and 3.1 assists.
The Associated Press contributed to this report.