He's just not sure when his next chance will come.
"I want to go out there as soon as I can," Gagne said before Monday's 8-3 win against St. Louis. "That's the way I am. That's what I know. I know how to close. That's the only thing I know how to do."
Brewers manager Ned Yost hasn't committed to a specific role for Gagne, tied with Cardinals reliever Jason Isringhausen with a major league-worst five blown saves this season.
With the Brewers leading 8-1 in the seventh inning Monday, Yost put Gagne in the game. He pitched a scoreless seventh but struggled in the eighth, giving up a run as he allowed two hits, a walk and a wild pitch.
Yost said it was a positive sign that Gagne wanted to keep pitching.
"A lot of times, when a guy's been struggling, you get him through a real clean first inning like that and let him get away with a good feeling," Yost said after the Brewers won 8-3. "But you know, he wanted to work, he wanted to go out a second inning and I wanted him to go, too."
After another rough outing led to a Brewers loss Saturday, Gagne all but demoted himself by saying he didn't deserve to pitch the ninth inning. But from his seat on the bullpen bench Sunday, he immediately had second thoughts.
"I wanted to go out there yesterday in a save situation -- that's how bad it is," Gagne said. "As much as you hate it, you can only hate what you love, I think. And that's exactly what I went [through] yesterday. I just went out there and I was sitting on the bench and I was getting anxious. I wanted to get the ball."
But Yost hasn't told Gagne when that might happen.
"It's more of a feel issue," Gagne said. "Whenever I'm ready, whenever he's ready. I think I'm ready."
Gagne signed a $10 million, one-year contract with the Brewers just before his name appeared in the Mitchell report on performance-enhancing drugs in baseball. The 2003 NL Cy Young award winner, who has struggled with injuries and inconsistency in recent years, was brought in after Francisco Cordero left as a free agent.
But Gagne struggled from the start of the season, and said after Saturday's loss that he wanted to work through his problems in a lower-profile role in the bullpen.
Gagne said Monday that those comments were made in frustration and weren't meant as an indication that he had given up on closing for good.
"I want to pitch the ninth inning," Gagne said. "I want to be in a save situation. That's really where I've always had success."
Gagne said he has spoken with Isringhausen -- who, oddly enough, asked out of the closer's role with the Cardinals after getting roughed up by the Brewers on Friday.
Isringhausen pitched a scoreless eighth for St. Louis Monday.
"You don't laugh, you just kind of try to not think about it so much, not be so negative about it," Gagne said. "But it's a situation where I know exactly what he's feeling, and I can tell exactly the exact same steps he's taking, that's exactly what I'm thinking. So it's not funny, but it's kind of ironic."