The 40-year-old singer has performed two solo shows at London's Royal Albert Hall over the last two nights, and would love for his main band - who have only played stadiums and large arenas since reforming in 2005 - to play an intimate show at the 5,000 seat venue.
He said: "Take That have never played here. We need to change that. We've got to make it happen. It's a beautiful venue."
Gary - who is also a judge on UK TV show 'The X Factor' - "loved" taking to the stage for his first solo show in years and insists he wasn't nervous about going it alone.
He told the Daily Star newspaper: "It's a bit of antidote to 'The X Factor'. This is what I actually do for a real job. I wasn't nervous one bit.
"I don't know what it was, I was just dying to get out and do a gig. I loved it.
"I did a show for my birthday earlier this year but other than that it's my first show in 11 years on my own. This has been the most intense year ever but I've loved it."