The out-spoken atheist was asked on the CBS programme The Late Show with Stephen Colbert whether he believed in the existence of a creator God.
The British comedian and actor, who received audience applause when he said he didn't believe in God, answered: "Outside of science and nature, I don't believe so."
He branded himself as an "agnostic atheist" during the conversation, which stemmed from a Twitter post which told Gervais he was going to hell.
Host, Stephen Colbert asked him: "Do you ever have a feeling of great gratitude for existence?"
Gervais answered: "Of course, I know the chances are billions to one that I am on this planet as me and never will be again."
Colbert replied: "I know I can't convince you that there is a God, nor do I really want to convince you there is a God, but I can only explain my experience which is that I have a strong desire to direct that gratitude to something or someone and that thing is God".
Gervais suggested he found it easier to believe in the Big Bang theory, saying science is "constantly proved all the time".