The Great One's second season as an NHL coach has gotten off to a rocky start as his Phoenix Coyotes had just two wins heading into Tuesday's game against the equally desperate Calgary Flames.
"In professional hockey, if you win you are on top of the mountain and if you lose, you're in the bottom of the valley and right now we're in the bottom of the valley," Gretzky said prior to the game at the Pengrowth Saddledome.
As a player, Gretzky had the routine of practice and game preparation to help erase the memory of a previous loss. He's found that he holds onto a loss longer as a coach.
"It's much worse," he said. "As a coach, you dwell on it for hours and hours before the next game starts. There's no way to really relieve that disbelief of losing a hockey game."
Gretzky, also a part-owner of the club, signed a five-year contract extension in May to stand behind the Coyotes' bench.
While Phoenix got off to a 1-4-1 start in Gretzky's coaching debut last season, the Coyotes turned a corner. Starting with his first road win as a coach in Calgary, Phoenix climbed to 10-10-2 by mid-November and finish with a 38-39-5 record in the toughest division in the NHL.
Looking to reach the post-season after a four-year absence, the club acquired five veterans over the summer, led by three-time all-star defenceman Ed Jovanovski.
Georges Laraque, one of the NHL's best enforcers, forward Owen Nolan and defenceman Nick Boynton also joined the fold, as well as wily veteran Jeremy Roenick, a nine-time all-star centre whose recklessness made him a fan favourite when he played for the Coyotes from 1996-2001.
Expectations were high and have not yet been met.
"We're not Stanley Cup champions right now, but we're a much better hockey club that our record indicates," Gretzky said. "From that point of view, it's horrible.
"We're searching for answers, trying to turn over every stone. The reality is, it's not much fun at this level if you are not winning."
While it's easy to think that he faces less pressure to win in a non-traditional hockey market like Phoenix, Gretzky says there's a different kind of pressure.
He acknowledged teams like Phoenix, L.A., Dallas and Tampa Bay don't have the same full-on media exposure of Calgary and Edmonton, but pointed out the NFL and the NBA can draw fans away if the NHL team isn't winning.
"It becomes difficult to sell your seats," he said.
The NHL's all-time scoring champion says his learning curve as a coach hasn't been in the tactics of the game, because that hasn't changed from his rookie season.
It's dealing with the different personalities and needs of his players on a daily basis and knowing the difference between hectoring and helping.
"It's a fine line between being hard on players internally, yet still being positive and reinforcing what you believe in and what you believe they can do as individuals to help a hockey team," Gretzky said. "At the end of the day, I know everybody is trying."
Gretzky felt for Ken Hitchcock when his friend and brother in the coaching fraternity was fired by the Flyers on Sunday, after Hitchcock's demanding ways did not yield a championship in Philadelphia.
"As I said to Hitch, it's no more public knowledge now than it was years ago, Glen Sather was the hardest coach I ever played for," Gretzky said. "He pushed his best players to levels he thought they could go through and maybe even levels they couldn't go to. It worked for him."
What has changed from Gretzky's playing heyday is the parity in the NHL, and while the Coyotes search for their identity, they are falling behind in the standings.
"I remember when I was on the Oilers and we'd go on a five-game road trip and we knew we'd win four of the games without even trying," Gretzky explained. "We were just too good for the other teams.
"Now, no matter where you go, each and every team is going to give you a battle."
Coyotes goaltender Curtis Joseph can see the Coyotes' poor start is eating away at their coach.
"There's always pressure on Gretz no matter what he does," Joseph said. "Everyone expects it to be perfection.
"I think he demands perfection and greatness from himself also."