The Oscar-nominated star, 25, plays real-life author Robert Graysmith in the real-life story of the police hunt for the zodiac serial killer who terrorised the San Francisco Bay area of California in the 1960s and 1970s. To this day, the murderer has never been caught.
Gyllenhaal, currently filming the thriller, admits he is having to get used to shooting repeated takes to satisfy perfectionist Fincher.
He says, "My idea of what is easy and what is hard has been completely changed by this film.
"The first day, the first set-up, we did 67 takes. I was trying to determine if it was a joke."