The 60-year-old made the surprise comment after research studies showed that former professional footballers are three and a half times more likely to die from a brain disorder than the general population, prompting Parliament to launch an inquiry into sport's link to dementia.
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Speaking on talkSPORT radio, Gary revealed that he and his Match of the Day colleagues Alan Shearer and Ian Wright are worried about developing a brain disorder in the future.
"I've had conversations with Alan Shearer and Ian Wright and others about the worry that, come ten, 15 years, that it might happen to one of us," he explained. "The odds suggest that it probably will. I have regular health checks, including the brain. So far everything is ok."
The former England captain-turned-broadcaster added: "I'll have my triannual test this summer and ask if there's anything they can establish around the brain, because I don't see how, given the circumstances, any footballer wouldn't be worried about it."
Gary has opened up about his health fears
Former footballers who have died of dementia include England's 1966 World Cup stars Nobby Stiles, Jack Charlton, Ray Wilson and Martin Peters. Sir Bobby Charlton was diagnosed with the condition last year.
On possible limitations to football, Gary said: "Do you want to take heading out of the game? No, I don't think so, but you can take heading out of training, or limit it massively.
"Exercises where defenders are heading it clear, crosses are sent in and players are heading the ball away and at goal repeatedly – bang, bang, bang – most damage will probably be done then."
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