Wales assistant coach Howley was sent home from the Rugby World Cup on Tuesday with former Wales five-eighth Stephen Jones flying out to replace him.
"We were shocked by it," Gatland told a press conference in Kitayushu.
"At the moment these are allegations. Rob is devastated by the allegations."
The 48-year-old former Wales captain has been part of Gatland's coaching team since 2008.
"It took a bit of time to sink in. It is now how we turn a difficult situation into a positive one," Gatland said.
"I texted Rob to see how he got home and that he was OK."
Gatland, who turned 55 yesterday, admitted: "I have had better birthdays but you have to deal with adversity at times.
"The players have really stepped up. We have got to draw a line in the sand.
"My focus has to be on preparing the team for the first World Cup game against Georgia. It hasn't really altered preparations. It will focus us. It is important we focus on the rugby."
Chief executive Martyn Phillips said the Welsh Rugby Union needed to be quick to act when sending home Howley.
"We were contacted on Wednesday last week, and then contacted formally with some further information on Friday," said Phillips.
"After open training on Monday, we sat down with Rob. He was very co-operative. The formal process will carry on back in Wales.
"There will be an investigation. It is a pretty serious allegation," Phillips said.
Howley exited the squad's base in just six days before their opening Pool D match again Georgia on Monday.
They then play the Wallabies in Tokyo on September 29.
The former halfback had been due to leave his Wales coaching role after the World Cup, along with Gatland and fellow assistants Shaun Edwards and Robin McBryde.
Howley enjoyed a glittering playing career, winning 59 caps for Wales and captaining his country on 22 occasions, while also helping Wasps to be crowned European champions in 2004.
He played for the British and Irish Lions in 1997 and 2001, and was part of the Lions coaching staff on their last three tours.
If found guilty, Howley could face the maximum sanction of a life ban from the sport.
Betting on any rugby game is outlawed for the likes of players, coaches and match officials, among others.
Veteran five-eighth Dan Biggar revealed his own "huge disappointment and shock" in hearing the news but said Wales were strong enough to overcome any off-field issues on the pitch.
"It is not the ideal situation, but we have rolled up our sleeves and got on with it."