Davis was diagnosed with a right shoulder contusion. X-rays were negative.
"When he goes down like that, your first inclination is to get him out," Pelicans coach Monty Williams told reporters after the game. "When a guy hits the floor that hard, you feel bad for him."
Davis' arm was tucked in a sling after the loss. Williams said the extent of the injury might not be known until Sunday, when he was expected to be examined further.
"He says he's a bit sore right now. He couldn't move his arm the way he needed to, so we got him out," Williams said. "He kept saying he was OK ... but the doctors didn't feel good about getting him back out, so we've got to get more evaluation and we'll have a better update [Sunday]."
The dunk that drove Davis from the game was a two-handed jam of Tyreke Evans' lob. Davis' body swung like a pendulum as he held the rim, then the 6-foot-10, 240-pound forward fell horizontally as he lost his grip.
Davis stayed in the game briefly before taking himself out with the score tied at 35 and 4:16 left in the first half.
It was all Bulls after that.
"Anthony's a player that makes a big difference, so it was a tough hit for them to take," said Pau Gasol, whose 20 points and 15 rebounds helped Chicago snap a three-game skid. "We knew that we just had to stay at it and be aggressive on both ends of the floor and that's what we did."
Davis' exit came one night after his buzzer-beating 3-pointer pushed the Pelicans past the Oklahoma City Thunder116-113.
"We've played without him, so we know how to play without him. We just have to make the adjustment on the fly," forward Dante Cunningham told reporters. "I think we didn't do it tonight, but we definitely know how to play without him. We had a couple games when he was hurt, so we just have to do it on the fly, I guess."The Pelicans play at home on Monday and Wednesday before the All-Star break.
The Associated Press contributed to this report.
Davis Injures Shoulder In Pelicans' Loss
Anthony Davis departed the game in the first half after taking a hard fall and injuring his shoulder. Without him, the Pelicans fell to the Bulls 107-72.