"I am gay" is more natural and better than "I am a gay."
"I am a gay" is not strictly wrong, and it wouldn't be very hard to dream up some cases in which it might be used. Gay began as an adjective but has now become a substantive noun too. The noun however, is pretty well always used in the plural. We hear "Gays do this" or "Gays think that." In the singular we would normally use man, woman or person along with the adjective gay. "I am a gay man" and "As a gay person ..." sound fine.